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Multifractal Detrended Fluctuation Analysis (MF-DFA)

  • Guangxi CaoEmail author
  • Ling-Yun He
  • Jie Cao
Chapter

Abstract

The study of financial or crude oil markets is largely based on current main stream literature, whose fundamental assumption is that stock price (or returns) follows a normal distribution and price behavior obeys ‘random-walk’ hypothesis (RWH), which was first introduced by Bachelier (1900), since then it has been adopted as the essence of many asset pricing models. However, some important results in econophysics suggest that price (or returns) in financial or commodity markets have fundamentally different properties that contradict or reject RWH.

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Copyright information

© Springer Nature Singapore Pte Ltd. 2018

Authors and Affiliations

  1. 1.NanjingChina
  2. 2.GuangzhouChina

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