Characterizing multi-scale self-similar behavior and non-statistical properties of fluctuations in financial time series

Physica A: Statistical Mechanics and its Applications

Volumn 390, Issue 23-24, 2011, Pages 4304-4316

  Ghosh, Sayantan ^a   Manimaran, P ^b   Panigrahi, Prasanta K ^c  

^a UNIVERSITY OF KWAZULU NATAL   (South Africa)

^b UNIVERSITY OF HYDERABAD   (India)

^c BIDHAN CHANDRA KRISHI VISWAVIDYALAYA   (India)

Author keywords

Fractals; Non stationary time series; Power law; Wavelet transform

Indexed keywords

COMMERCE; DISCRETE WAVELET TRANSFORMS; FINANCIAL MARKETS; FRACTALS; TIME SERIES; WAVELET TRANSFORMS;

FINANCIAL MARKET FLUCTUATIONS; FINANCIAL TIME SERIES; HIGH FREQUENCY FLUCTUATIONS; NON-STATIONARY TIME SERIES; POWER LAW DISTRIBUTION; POWER-LAW; STATISTICAL CHARACTERISTICS; STATISTICAL PROPERTIES;

FINANCIAL DATA PROCESSING;

EID: 80052572655     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2011.06.054     Document Type: Article

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