Multifractal Detrended Analysis Method and Its Application in Financial Markets

ISBN-13: 9789811079153 / Angielski / Twarda / 2018 / 255 str.

Guangxi Cao; Lingyun He; Jie Cao

Opis

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.

Spis treści

Chapter 1 Introduction.- Chapter 2 Long Memory Methods and Comparative Analysis.- Chapter 3 Multifractal Detrended Fluctuation Analysis (MF-DFA).- Chapter 4 Multifractal Detrended Cross-Correlation Analysis (MF-DCCA).- Chapter 5 Asymmetric Multifractal Detrended Fluctuation Analysis (MF-ADFA).- Chapter 6 Asymmetric Multifractal Detrended Cross-Correlation Analysis (MF-ADCCA).- Chapter 7 Asymmetric DCCA Cross-Correlation Coeffcient.- Chapter 8 Simulation - Taking DMCA as an Example.- Chapter 9 Multifractal Dentrend Method with Different Filtering.- Chapter 10 Risk Analysis Based on Multifractal Detrended Method.

O autorze

Guangxi Cao:

Prof. Dr. Cao is a professor in the School of Economics and Management at Nanjing University of Information Science & Technology and a post-doctor in the School of Finance at Shanghai University of Finance and Economics. His main research is on financial empirical analysis and management, econometric and management. Since 2007, he has published 70 papers in some international publications such as Physica A, NLA、AMC、Emerging Markets Finance and Trade, and so on, and in some domestic core journals such as China Management Science, Management Science, Application of Statistics and Management, Systems Engineering, and so on, involving the field of financial market, carbon emission and technology innovation. Furthermore, he has published two books. Now, his research group is undertake several projects from National natural Science Foundation of China (No. 71371100), the Humanities and Social Sciences Fund sponsored by the Ministry of Education of the People’s Republic of China (No. 13YJCZH007), and other projects of province.

Ling-Yun He: 

Prof. Dr. He is a full professor in applied economics at JiNan University, and serves as an adjunct/affiliate Professor at many Chinese leading universities, such as China Agricultural University, Nanjing University of Information Science and Technology, and Beijing Institute of Technology. His expertise includes energy economics, environmental regulations and policies, computational economics, etc. He published over 80 academic papers in internationally recognized or domestically top-tier peer-reviewed journals, such as Energy Economics, China Economic Review, Transportation Research D, Computational Economics, Transport Policy, Energy Policy, Economic Research Journal. He received many national or provincial level awards, like “New Century Excellent Talents in University” award by the Ministry of Education of the People’s Republic of China in 2011, and “Beijing Outstanding Talent in the Social Sciences in the New Century" award by the City of Beijing in 2011. He also serves as an associate editor or academic editor for many international peer-reviewed journals, like Computational Economics, Fractals, International Journal of Global Environmental Issues, etc. His enthusiasm and devotion in teaching are also highly regarded and recognized. He received many times “Teacher of the Year”, “PhD Supervisor of the Year” and “Undergraduate Supervisor of the Year” awards at many universities he taught.

Jie Cao:

Jie Cao is an expert in financial engineering and public safety. He has been worked in financial market and emergency management field for nearly 15 years. He is a Principal Investigator (PI) for three projects from National Natural Science Foundation of China. He is honored with the new century talents project national candidates, Special allowance of the State Council, and is supported by Six talent peak in Jiangsu Province.

Blurb

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.