| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481804 | Physica A: Statistical Mechanics and its Applications | 2012 | 7 Pages |
Abstract
⺠We generalize diffusion entropy analysis with Rényi entropy. ⺠The method detects multifractal scaling behaviors of regular and extreme values. ⺠Regular volatility exhibits long-range persistence in financial markets. ⺠Extreme volatility reveals anti-persistence in financial markets.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Jingjing Huang, Pengjian Shang, Xiaojun Zhao,