Non-linear characterization and trend identification of liquidity in China's new OTC stock market based on multifractal detrended fluctuation analysis

2020 ◽  
Vol 139 ◽  
pp. 110063 ◽  
Author(s):  
Ruzhen Yan ◽  
Ding Yue ◽  
Xudong Chen ◽  
Xu Wu
Keyword(s):  
Stock Market ◽  
Detrended Fluctuation Analysis ◽  
Fluctuation Analysis ◽  
Multifractal Detrended Fluctuation Analysis ◽  
Non Linear ◽  
Trend Identification ◽  
Detrended Fluctuation

Multifractal detrended fluctuation analysis of SENSEX fluctuation in the Indian stock market

2010 ◽  
Vol 88 (8) ◽  
pp. 545-551 ◽  
Author(s):  
Srimonti Dutta
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Detrended Fluctuation Analysis ◽  
Nonstationary Time Series ◽  
Anomalous Behaviour ◽  
Fluctuation Analysis ◽  
Multifractal Detrended Fluctuation Analysis ◽  
Indian Stock Market ◽  
Detrended Fluctuation

The fluctuation of SENSEX in the Indian stock market for the period Jan 2003–Dec 2009 is studied using the multifractal detrended fluctuation analysis (MFDFA) approach. The effect of the fall in the stock market in 2008 is also investigated. The data exhibits that the nonstationary time series of SENSEX fluctuations are multifractal in nature. An increase in the degree of multifractality prior to the anomalous behaviour in the SENSEX values is also observed. The increase in the degree of correlation for the period 2007–2009 is also responsible for the meteoric rise and the catastrophic fall in the values of SENSEX.

scholarly journals Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak

2020 ◽  
Vol 8 (2) ◽  
pp. 31 ◽  
Author(s):  
Faheem Aslam ◽  
Wahbeeah Mohti ◽  
Paulo Ferreira
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Stock Markets ◽  
Detrended Fluctuation Analysis ◽  
Fluctuation Analysis ◽  
Policy Makers ◽  
Multifractal Detrended Fluctuation Analysis ◽  
Index Data ◽  
European Stock Markets ◽  
Detrended Fluctuation

This study assesses how the coronavirus pandemic (COVID-19) affects the intraday multifractal properties of eight European stock markets by using five-minute index data ranging from 1 January 2020 to 23 March 2020. The Hurst exponents are calculated by applying multifractal detrended fluctuation analysis (MFDFA). Overall, the results confirm the existence of multifractality in European stock markets during the COVID-19 outbreak. Furthermore, based on multifractal properties, efficiency varies among these markets. The Spanish stock market remains most efficient while the least efficient is that of Austria. Belgium, Italy and Germany remain somewhere in the middle. This far-reaching outbreak demands a comprehensive response from policy makers to improve market efficiency during such epidemics.

scholarly journals Multifractal Detrended Fluctuation Analysis (MF-DFA) of Stock Market Indexes. Empirical Evidence from Seven Central and Eastern European Markets

2020 ◽  
Vol 12 (2) ◽  
pp. 535 ◽  
Author(s):  
Laura Raisa Miloş ◽  
Cornel Haţiegan ◽  
Marius Cristian Miloş ◽  
Flavia Mirela Barna ◽  
Claudiu Boțoc
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Detrended Fluctuation Analysis ◽  
Sustainable Growth ◽  
Mature Stage ◽  
Fluctuation Analysis ◽  
Eastern European ◽  
Multifractal Detrended Fluctuation Analysis ◽  
Long Range Correlations ◽  
Detrended Fluctuation

In this paper, we present a comparative investigation of the multifractal properties of seven Central and Eastern European (CEE) stock markets using recent financial data up to August 2018 by employing seasonal and trend decompositions before applying multifractal detrended fluctuation analysis. We find that stock indices returns exhibit long-range correlations, supporting the idea that the stock markets in question are not efficient markets and have not reached a mature stage of market development. The results of the paper are of interest to investors looking for opportunities in these stock exchanges and also to policy makers in their endeavour of realizing institutional reforms in order to increase stock market efficiency and to support the sustainable growth of the financial markets.

Multifractal detrended fluctuation analysis of temperature in Spain (1960–2019)

2021 ◽  
pp. 126118
Author(s):  
Javier Gómez-Gómez ◽  
Rafael Carmona-Cabezas ◽  
Ana B. Ariza-Villaverde ◽  
Eduardo Gutiérrez de Ravé ◽  
Francisco José Jiménez-Hornero
Keyword(s):  
Detrended Fluctuation Analysis ◽  
Fluctuation Analysis ◽  
Multifractal Detrended Fluctuation Analysis ◽  
Detrended Fluctuation
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