Gradual multifractal reconstruction of time-series: Formulation of the method and an application to the coupling between stock market indices and their Hoelder exponents

A technique termed gradual multifractal reconstruction (GMR) is formulated. A continuum is defined from a signal that preserves the pointwise Hoelder exponent (multifractal) structure of a signal but randomises the locations of the original data values with respect to this (φ=0), to the original sig...

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Bibliographic Details
Main Author: Chris Keylock
Format: Default Article
Published: 2017
Subjects:
Other built environment and design not elsewhere classified
Wavelets
Multifractal
Hoelder exponent
Surrogate data
Econophysics
Built Environment and Design not elsewhere classified
Online Access:https://hdl.handle.net/2134/33285
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