253 citations · 413 across the 15 of their papers we have counts for
16 papers
Quantitative approach to multifractality induced by correlations and broad distribution of data
Rafal Rak, Dariusz Grech
We analyze quantitatively the effect of spurious multifractality induced by the presence of fat-tailed symmetric and asymmetric probability distributions of fluctuations in time se…
Identification of cross and autocorrelations in time series within an approach based on Wigner eigenspectrum of random matrices
Michal Sawa, Dariusz Grech
We present an original and novel method based on random matrix approach that enables to distinguish the respective role of temporal autocorrelations inside given time series and cr…
New measure of multifractality and its application in finances
Dariusz Grech, Grzegorz Pamuła
We provide an alternative method for analysis of multifractal properties of time series. The new approach takes into account the behaviour of the whole multifractal profile of the…
Impact of scaling range on the effectiveness of detrending methods
Dariusz Grech, Zygmunt Mazur
We make the comparative study of scaling range properties for detrended fluctuation analysis (DFA), detrended moving average analysis (DMA) and recently proposed new technique call…
On the multifractal effects generated by monofractal signals
Dariusz Grech, Grzegorz Pamuła
We study quantitatively the level of false multifractal signal one may encounter while analyzing multifractal phenomena in time series within multifractal detrended fluctuation ana…
Effects of maximal fluctuation moment and detrending polynomial orders on the observed multifractal features within MFDFA
Grzegorz Pamuła, Dariusz Grech
We focus on the importance of moments range used within multifractal detrended fluctuation analysis (MFDFA) to calculate the generalized Hurst exponent spread and multifractal…