Dear Colleagues,

In 1963, Mandelbrot and Fama proposed that the return of financial assets is subject to a fractal process supported by the Pareto–Lévy distribution, which challenges the conventional belief of Gaussian distribution. Since then, various studies have identified the ubiquitous properties of the fractal perspective, such as fat tails, volatility clustering, and multi-scaling. Such properties indicate a non-linear stochastic process, suggesting long-term memory in economic and financial time series. Multifractal analysis is an effective instrument that can be used to explore the complex non-linear nature of various economic and financial markets.

The distributional characteristics of market fluctuations are critical to asset pricing and risk management, since large fluctuations usually cause astounding issues in economic and financial practices. Multifractal analysis has contributed greatly to the analysis of market risk. In this context, we would like to invite the submission of original research and review articles exploring topics including (but not limited to):

• Fractional Brownian motion;
• Fractal dimension of financial networks;
• Multifractal detrended fluctuation analysis/moving average;
• Multifractal (partial) cross-correlation;
• Multifractal volatility;
• Market efficiency;
• Machine/Deep learning approaches using multifractal features;
• Applications of multifractal processes in various economy and financial markets.

Dr. Jae Wook Song
Guest Editor

Manuscript Submission Information

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Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Fractal and Fractional is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 2700 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

• Fractal and Multifractal Analysis in Financial Markets in Fractal and Fractional (6 articles)