Multifractal Detrended Analysis Method and Its Application in Financial Markets

Description

This book collects high-quality papers on the latest fundamental advances in the state of Econophysics and Management Science, providing insights that address problems concerning the international economy, social development and economic security. This book applies the multi-fractal detrended class method, and improves the method with different filters. The authors apply those methods to a variety of areas: financial markets, energy markets, gold market and so on. This book is arguably a systematic research and summary of various kinds of multi-fractal detrended methods. Furthermore, it puts forward some investment suggestions on a healthy development of financial markets. Front Matter ....Pages i-xi Introduction (Guangxi Cao, Ling-Yun He, Jie Cao)....Pages 1-5 Long Memory Methods and Comparative Analysis (Guangxi Cao, Ling-Yun He, Jie Cao)....Pages 7-20 Multifractal Detrended Fluctuation Analysis (MF-DFA) (Guangxi Cao, Ling-Yun He, Jie Cao)....Pages 21-47 Multifractal Detrended Cross-Correlation Analysis (MF-DCCA) (Guangxi Cao, Ling-Yun He, Jie Cao)....Pages 49-78 Asymmetric Multifractal Detrended Fluctuation Analysis (A-MFDFA) (Guangxi Cao, Ling-Yun He, Jie Cao)....Pages 79-111 Asymmetric Multifractal Detrended Cross-Correlation Analysis (MF-ADCCA) (Guangxi Cao, Ling-Yun He, Jie Cao)....Pages 113-127 Asymmetric DCCA Cross-Correlation Coefficient (Guangxi Cao, Ling-Yun He, Jie Cao)....Pages 129-153 Simulation—Taking DMCA as an Example (Guangxi Cao, Ling-Yun He, Jie Cao)....Pages 155-167 Multifractal Detrend Method with Different Filtering (Guangxi Cao, Ling-Yun He, Jie Cao)....Pages 169-221 Risk Analysis Based on Multifractal Detrended Method (Guangxi Cao, Ling-Yun He, Jie Cao)....Pages 223-255