Structured multifractal scaling of the principal cryptocurrencies: Examination using a self‐explainable machine learning
Foued Saâdaoui,
Hana Rabbouch
Abstract:This paper introduces a novel statistical testing technique known as segmented detrended multifractal fluctuation analysis (SMF‐DFA) to analyze the structured scaling properties of financial returns and predict the long‐term memory of financial markets. The proposed methodology is applied to assess the efficiency of major cryptocurrencies, expanding upon conventional approaches by incorporating different fluctuation regimes identified through a change‐point detection test. A single‐factor model is employed to … Show more
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