Different Fractal Properties of Positive and Negative Returns

Type: Article

Publication Date: 2008-09-01

Citations: 19

DOI: https://doi.org/10.12693/aphyspola.114.547

Locations

  • arXiv (Cornell University) - View - PDF
  • CiteSeer X (The Pennsylvania State University) - View - PDF
  • Acta Physica Polonica A - View

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+ Directed polymer in a random medium of dimension<mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" display="inline"><mml:mrow><mml:mn>1</mml:mn><mml:mo>+</mml:mo><mml:mn>3</mml:mn></mml:mrow></mml:math>: Multifractal properties at the localization-delocalization transition 2007 Cécile Monthus
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+ PDF Chat Multifractal model of asset returns with leverage effect 2004 Zoltán Eisler
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+ PDF Chat Asymmetric conditional volatility in international stock markets 2007 Nuno Ferreira
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+ PDF Chat Multifractal detrended fluctuation analysis of nonstationary time series 2002 Jan W. Kantelhardt
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