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• W329146009 abstract "Abstract Here we propose the new method DH-MMA, based on multiscale multifractal detrended fluctuation analysis(MMA), to investigate the scaling properties in stock markets. It is demonstrated that our approach can provide a more stable and faithful description of the scaling properties in comprehensive range rather than fixing the window length and slide length. It allows the assessment of more universal and subtle scaling characteristics. We illustrate DH-MMA by selecting power-law artificial data sets and six stock markets from US and China. The US stocks exhibit very strong multifractality for positive values of q , however, the Chinese stocks show stronger multifractality for negative q than positive q . In general, the US stock markets show similar behaviors, but Chinese stock markets display distinguishing characteristics." @default.
• W329146009 created "2016-06-24" @default.
• W329146009 creator A5029872341 @default.
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• W329146009 date "2015-10-01" @default.
• W329146009 modified "2023-09-27" @default.
• W329146009 title "The scaling properties of stock markets based on modified multiscale multifractal detrended fluctuation analysis" @default.
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• W329146009 doi "https://doi.org/10.1016/j.physa.2015.05.041" @default.
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