[1] Mandelbrot B B. Fractals and scaling in finance [M]. New York: Springer, 1997.[2] 魏宇.多分形波动率测度的VAR计算模型[J].系统工程理论与实践, 2009,29(9):7-15.[3] Jiang Zhiqiang, Zhou Weixing. Multifractal analysis of Chinese stock volatilities based on the partition function approach [J]. Physica A, 2008, 387(19-20): 4881-4888.[4] 张林, 李荣钧, 刘小龙. 基于小波领袖多重分形分析法的股市有效性及风险检测[J]. 中国管理科学, 2014, 22(6):17-26.[5] Hurst H E. Long team storage capacity of reservoirs [J]. Transactions American Society of Civil Engineers, 1951, 116(76): 770-808.[6] Lo A W. Long-term memory in stock market prices [J]. Econometrica, 1991, 59(5): 1279-1313.[7] Peng C K, Buldyrev S V, Havlin S, et al. Mosaic organization of DNA nucleotides[J]. Physical Review E, 1994, 49(2): 1685-1689.[8] Hu Kun, Ivanov P C, Chen Zhi, et al.Effect of trends on detrended fluctuation analysis [J]. Physical Review E, 2001, 64(1): 011114.[9] Kantelhardt J W, Zschiegner S A, Koscielny-Bunde E, S. et al. Multifractal detrended fluctuation analysis of non-stationary time series [J]. Physica A, 2002, 316(4):87-114.[10] Vandewalle N, Ausloos M. Crossing of two mobile averages: A method for measuring the roughness exponent [J]. Physical Review E, 1998, 58(5): 6832-6834.[11] Alessio E, Carbone A, Castelli G, et al. Second-order moving average and scaling of stochastic time series [J]. European Physical Journal B, 2002, 27(2): 197-200.[12] Carbone A, Castelli G, Stanley H E. Analysis of clusters formed by the moving average of a long range correlated time series [J]. Physical Review E, 2004, 69(4): 026105.[13] Serletis A, Rosenberg A A. The Hurst exponent in energy futures prices [J]. Physica A, 2007, 380(13): 325-332.[14] Ferreira P. Portuguese and Brazilian stock market integration: A non-linear and detrended approach [J]. Portuguese Economic Journal, 2017,16(1):49-63.[15] Xu Limei, Ivanov P C, Hu Kun, et al.Quantifying signals with power-law correlations: A comparative study of detrended fluctuation analysis and detrended moving average techniques [J]. Physical Review E, 2005, 71(5): 051101.[16] Bashan A, Bartsch R, Kantelhardt J W, et al.Comparison of detrend methods for fluctuation analysis[J]. Physica A, 2008, 387(21): 5080-5090.[17] Gu Gaofeng, Zhou Weixing.Detrend moving average algorithm for multifractals[J]. Physical Review E, 2010, 82(1): 011136.[18] Liu Sifeng. The three axioms of buffer operator and their applications to GM(1,1) prediction[J]. Journal of Grey System, 1991, 3(1): 39-48.[19] 刘以安, 陈松灿,张明俊,等.缓冲算子及数据融合技术在目标跟踪中的应用[J].应用科学学报,2006,24(2):154-158.[20] 吴正朋,刘思峰,米传民,等.基于反向累积法的弱化缓冲算子序列研究[J].中国管理科学, 2009, 17(3): 136-141.[21] 刘思峰, 杨英杰, 吴利丰. 灰色系统理论及其应用[M]. 科学出版社, 2014.[22] 王鹏, 袁小丽. 金融资产收益非对称性的多标度分形测度及其在VaR计算中的应用[J]. 中国管理科学, 2015, 23(3):13-23.[23] Kalamaras N, Philippopoulos K, Deligiorgi D, et al.Multifractal scaling properties of daily air temperature time series[J]. Chaos Solitons & Fractals, 2017, 98:38-43.[24] Mali P. Multifractal characterization of global temperatureanomalies [J]. Theoretical & Applied Climatology, 2015, 121(3-4):641-648.[25] Pincus S, Kalman R E. Irregularity, volatility, risk, and financial market series[J].Proceedings of the National Academy of Sciences of the United States of America, 2004, 101(38): 13709-13714. |