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Finite-size effect and the components of multifractality in financial volatility
Finite-size effect components of multifractality financial volatility
2010/11/3
Many financial variables are found to exhibit multifractal nature, which is usually attributed
to the influence of temporal correlations and fat-tailedness in the probability distribution (PDF).Based...
Direct evidence for inversion formula in multifractal financial volatility measure
Direct evidence inversion formula multifractal financial volatility measure
2010/12/13
The inversion formula for conservative multifractal measures was unveiled mathematically a decade ago, which is however not well tested in real complex systems. In this Letter, we propose to verify th...