Multifractal Formalism in Wavelet Transform Modulus Maxima Approach

Журнал научных публикаций аспирантов и докторантов 2012
Andrejs Pučkovs

This article is dedicated to eliminate financial time series multifractal research method which is based on both wavelet technique (for scalability research) and multifractal formalism. This multifractal research technique is called Wavelet Transform Modulus Maxima (here and further WTMM). This article should bring the light to the darkest sides of WTMM. This method is intended to be applicable for multifractal research of the most world stock indexes. Narration in current article is following: it begins from exploration of Thermodynamics Partition function estimation next Scaling exponent function and Multifractal spectrum estimations are narrated.

Keywords
Wavelet Transform Modulus Maxima approach, Thermodynamics Partition function, Scaling exponent, Multifractal spectrum
Hyperlink
http://jurnal.org/articles/2012/ekon53.html

Pučkovs, A. Multifractal Formalism in Wavelet Transform Modulus Maxima Approach. Журнал научных публикаций аспирантов и докторантов, 2012, No. 7, pp.22-27. ISSN 1991-3087.

Publication language
English (en)