Multifractal modeling and spatial statistics SpringerLink
In general, the multifractal model provides more information about X., eds., Application of computers and operations research in the mineral industry: Proc.
Quantitative Analytics Recipe For Quantitative Trading With Machine
8 Nov 2018 On one hand, financial time series are multifractal, thus exhibiting non-Gaussian However, when forecasting market returns, or generating . applied to the market returns, while in the latter, data mining is performed on data.
Comparison of the multifractal characteristics of heavy metals in
6 Sep 2016 2Xinjiang Research Centre for Mineral Resources, Xinjiang Institute of Ecology and Geography, multifractality suggests that the differing economic activities yield new information that can be used to understand the fac-.
Dynamical Variety of Shapes in Financial Multifractality
17 Jul 2018 NASDAQ—the two world-leading stock market indices—the present study shows that they indeed develop the multifractal features, but .. tions of the return fluctuations for the two indices considered .. mines f α of an index.
Scaling and multifractal fields in the solid earth and topography
2 Aug 2007 S. Lovejoy and D. Schertzer: Multifractals and the solid earth of the earth's topography .. 3a. de Wijs Zinc concentration data from the Pulacayo mine,. Bolivia, with x the . and we return to their implications for the stratification in. Sect
Detection of Climate Zones using Multifractal Detrended Cross
temporal pattern, Data mining, Generic climate classification. the ecological, agricultural, industrial, and socio-economic life of any country throughout the .. 28: Return the k number of clusters c1, c2, ··· , ck as the detected climate zones for.
Forecasting Volatility and Volume in the Tokyo Stock Market
recently introduced multifractal model) dominate over GARCH and ARMA models. . 1: Stock price, volatility (proxied by squared returns) and volume of Nippon Mining (5714), The Furukawa Electric (5801), Sumitomo Electric Industries
Multiscale characteristics of linear and nonlinear cross-correlations
taken place in the market of derivative financial instruments. Multifractal Model of Asset Returns , as well as to the development of techniques enabling the
Identifying the Transition from Efficient-Market to Herding Behavior
25 May 2016 Identifying the Transition from Efficient-Market to Herding Behavior: “Multifractal” means that the visual chart depictions of many small,
Time-Varying Price–Volume Relationship and Adaptive Market
22 Jun 2019 Our review shows that the literature on return predictability and price–volume relationship in classical . Note MF-DFA = Multifractal Detrended Fluctuation Analysis, DCCA = Detrended Cross Correlational mining stocks.
Table 1: Multi-fractal parameter estimates - Warwick WRAP
Forecasting Volatility and Volume in the Tokyo Stock Market: Long Memory degree of predictability than the returns of financial assets. Mining (5714), The Furukawa Electric (5801), Sumitomo Electric Industries (5802), Fujikura (5803),.
(PDF) MultiFractality in Foreign Currency Markets - ResearchGate
PDF The standard hypothesis concerning the behavior of asset returns states the generalization of the FMH into the MultiFractal Market Hypothesis (MFMH).
Multifractal model: forecasting stock returns in the Ukrainian stock
model - multifractal Markov-switching model (MSM) to address limitations of. GARCH outperformed the market return by 27.35%, while annual return of the portfolio based on the .. Poltava Ore Mining and Processing Plant. 18 SMASH.
Testing the weak-form efficiency of the WTI crude oil futures market
20 Nov 2012 dKey Laboratory of Coal Gasification and Energy Chemical Engineering (MOE), East China University of .. The evolution of the returns of WTI crude oil futures is illus- tigate multifractal time series (CastroeSilvaandMoreira,.
Unbiased multifractal analysis: Application to fault patterns
15 Nov 1996 the universality of multifractal spectra by comparing veloped into an important industry, with many claims . original one (which will yield measured Dq • 2). Let . tial distribution of mining induced seismic activity, Nonlin.
MSM - Wikipedia
MSM may refer to: Contents. 1 Education. 1.1 United States; 1.2 Degrees. 2 Finance and Provo, Utah; Missouri School of Mines and Metallurgy, former name of Missouri University of Science and Technology, Markov switching multifractal, a model of asset returns;
Characterization of Financial Time Series - UCL Computer Science
20 Jan 2011 There is about a 30% chance that stock market returns exhibit long .. (1997) found evidence of a multifractal scaling law in DEM/USD returns. . (2001) highlight the dangers of data mining calendar effects and point out that
Extraction of Coal and Gangue Geometric Features with Multifractal
17 Mar 2018 Therefore, the multifractal detrended fluctuation analysis (MFDFA) method Gangue is usually treated as waste in the coal industry, although
Physica A: Statistical Mechanics and its Applications, Elsevier
by Liu, Yicheng & Liao, Xiaofeng; 1-1 Multifractal characteristics analysis of crude Are disaggregate industrial returns sensitive to economic policy uncertainty Timothy; 58-65 An efficient algorithm for mining a set of influential spreaders ..
ERA-MIN Joint Call 2014 Results: Summary Reports
material at the same place as the original mining activities for energy conservation. For the process aiming for a high overall vanadium recovery yield demonstrated in large pilot scale and a carbo- .. Using multifractal modelling, singularity.
Impact of Stock Market Structure on Intertrade Time and Price - NCBI
3 Apr 2014 Further, we find that companies that transfer from the NASDAQ to the with stronger power-law correlations in absolute price returns and higher price . Financial(8), Automotive(9), Defense/Aerospace(9), Mining, Metals & Steel there may be
Wavelet Transform Modulus Maxima Approach for World Stock
1) Data Mining and pre-processing, (stock index data and is based on Multifractal Model of Asset Return (MMAR), market bears more information in it.
Site map » CFM
Trend Following: a persistent market anomaly · Equity Market Neutral portfolios: The dynamics of financial markets - Mandelbrot's multifractal cascades, and in data mining · Modelling forward looking returns and combining traditional and&nbs
(PDF) Multifractality In Asset Returns: Theory And Evidence
24 Jul 2014 PDF This paper investigates the multifractal model of asset returns (MMAR), a class of continuous-time of market activity (Ghysels, Gourie´roux, & Jasiak, 1996). This section examines the geometric properties of sample.
The Financial Economics of Gold - a survey - Munich Personal
8 Jul 2015 Evidence from the Gold Mining Industry, SSRN Electronic Journal. . convenience yield of precious metals: safe haven versus industrial usage, . q-moment multifractal analysis of Gold price, Dow Jones Industrial Average
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