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Fractal Fract
Special Issues
Complex Dynamics and Multifractal Analysis of Financial Markets
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Complex Dynamics and Multifractal Analysis of Financial Markets

A special issue of Fractal and Fractional (ISSN 2504-3110). This special issue belongs to the section "Probability and Statistics".

Deadline for manuscript submissions: 31 December 2024 | Viewed by 3674

Special Issue Editors

Dr. Leonardo Henrique Silva Fernandes

E-Mail Website
Guest Editor
Department of Economics and Informatics, Federal Rural University of Pernambuco, Serra Talhada, Brazil
Interests: complex systems; econophysics; finance; multifractal analysis; information theory; time series
Prof. Dr. Benjamin Miranda Tabak

E-Mail Website
Guest Editor
School of Public Policy and Government, Getulio Vargas Foundation, SGAN 602 Módulos A,B,C, Asa Norte, Brasília, Brazil
Interests: behavioral economics; public policy; quantitative and financial models

Special Issue Information

Dear Colleagues:

Applying multifractal approaches in order to investigate the complex dynamics of financial markets offers several advantages due to the unique characteristics of financial data. Specifically, multifractal analysis enables the capture of intricate and self-similar patterns often exhibited by the financial time series. The primary purpose of this Special Issue is to apply multifractal approaches in order to provide novel relevant insights for stakeholders and offer possible future research directions in this field.

Topics of interests: Relevant contributions that promote the application multifractal approaches in order to investigate financial market dynamics. The topics of interest include, but are not limited to, the following:

  • Cross-market analysis;
  • High-frequency data analysis;
  • Market efficiency;
  • Market volatility analysis;
  • Multiscale volatility analysis;
  • Risk management.

Dr. Leonardo Henrique Silva Fernandes
Prof. Dr. Benjamin Miranda Tabak
Guest Editors

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Fractal and Fractional is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 2700 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • complexity
  • cross-correlations
  • financial markets
  • multifractality
  • time series

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Published Papers (2 papers)

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Research

29 pages, 8143 KiB  
Article
Inner Multifractal Dynamics in the Jumps of Cryptocurrency and Forex Markets
by Haider Ali, Muhammad Aftab, Faheem Aslam and Paulo Ferreira
Fractal Fract. 2024, 8(10), 571; https://doi.org/10.3390/fractalfract8100571 - 29 Sep 2024
Cited by 1 | Viewed by 1305
Abstract
Jump dynamics in financial markets exhibit significant complexity, often resulting in increased probabilities of subsequent jumps, akin to earthquake aftershocks. This study aims to understand these complexities within a multifractal framework. To do this, we employed the high-frequency intraday data from six major [...] Read more.
Jump dynamics in financial markets exhibit significant complexity, often resulting in increased probabilities of subsequent jumps, akin to earthquake aftershocks. This study aims to understand these complexities within a multifractal framework. To do this, we employed the high-frequency intraday data from six major cryptocurrencies (Bitcoin, Ethereum, Litecoin, Dashcoin, EOS, and Ripple) and six major forex markets (Euro, British pound, Canadian dollar, Australian dollar, Swiss franc, and Japanese yen) between 4 August 2019 and 4 October 2023, at 5 min intervals. We began by extracting daily jumps from realized volatility using a MinRV-based approach and then applying Multifractal Detrended Fluctuation Analysis (MFDFA) to those jumps to explore their multifractal characteristics. The results of the MFDFA—especially the fluctuation function, the varying Hurst exponent, and the Renyi exponent—confirm that all of these jump series exhibit significant multifractal properties. However, the range of the Hurst exponent values indicates that Dashcoin has the highest and Litecoin has the lowest multifractal strength. Moreover, all of the jump series show significant persistent behavior and a positive autocorrelation, indicating a higher probability of a positive/negative jump being followed by another positive/negative jump. Additionally, the findings of rolling-window MFDFA with a window length of 250 days reveal persistent behavior most of the time. These findings are useful for market participants, investors, and policymakers in developing portfolio diversification strategies and making important investment decisions, and they could enhance market efficiency and stability. Full article
(This article belongs to the Special Issue Complex Dynamics and Multifractal Analysis of Financial Markets)
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19 pages, 9339 KiB  
Article
Gold and Sustainable Stocks in the US and EU: Nonlinear Analysis Based on Multifractal Detrended Cross-Correlation Analysis and Granger Causality
by Milena Kojić, Petar Mitić and Jelena Minović
Fractal Fract. 2023, 7(10), 738; https://doi.org/10.3390/fractalfract7100738 - 7 Oct 2023
Cited by 5 | Viewed by 1666
Abstract
Geopolitical risks and conflicts wield substantial influence on the global economy and financial markets, fostering uncertainty and volatility. This study investigates the intricate relationship between gold and representatives of green and sustainable stocks in the US and EU during the Russia-Ukraine conflict, employing [...] Read more.
Geopolitical risks and conflicts wield substantial influence on the global economy and financial markets, fostering uncertainty and volatility. This study investigates the intricate relationship between gold and representatives of green and sustainable stocks in the US and EU during the Russia-Ukraine conflict, employing multifractal detrended cross-correlation analysis (MF-DCCA) and nonlinear Granger causality. MF-DCCA reveals significant multifractal properties and nonlinear cross-correlations across all time series pairs. Notably, conflict weakened the multifractal cross-correlations between US stocks and gold, except for the TESLA/gold pair. A similar significant change in the EU market’s multifractal properties was observed during the conflict. In conjunction with MF-DCCA, Granger causality tests indicate bidirectional nonlinear relationships between gold and green/sustainable stock markets in the USA and EU. Gold’s past movements significantly influence changes in all the considered green and sustainable stocks, enabling predictions of their behavior. These findings shed light on multifractal dynamics during geopolitical crises and emphasize the bidirectional relationships between gold and green and sustainable stock markets. This comprehensive analysis informs investors and policy makers, enhancing their understanding of financial market behavior amid geopolitical instability. Full article
(This article belongs to the Special Issue Complex Dynamics and Multifractal Analysis of Financial Markets)
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