Modified multifractal large deviation spectrum based on CID for financial market system

Yue Wu, Pengjian Shang and Shijian Chen

Physica A: Statistical Mechanics and its Applications, 2019, vol. 523, issue C, 1331-1342

Abstract: We modify the basic roughness grain exponent, only available for application of one single series, to complexity-invariant distance (CID) for studying multifractal features between two time series. CID is taken into consideration as a new roughness grain exponent with the large deviation spectrum to detect the similarity and correlation between different stock markets in this work.

Keywords: Large deviation spectrum; Complexity-invariant distance; Correlation; Multifractal analysis (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:523:y:2019:i:c:p:1331-1342

DOI: 10.1016/j.physa.2019.04.080

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