{"id":"https://openalex.org/W4411572694","doi":"https://doi.org/10.3389/fams.2025.1554144","title":"Adaptive fractal dynamics: a time-varying Hurst approach to volatility modeling in equity markets","display_name":"Adaptive fractal dynamics: a time-varying Hurst approach to volatility modeling in equity markets","publication_year":2025,"publication_date":"2025-06-23","ids":{"openalex":"https://openalex.org/W4411572694","doi":"https://doi.org/10.3389/fams.2025.1554144"},"language":"en","primary_location":{"id":"doi:10.3389/fams.2025.1554144","is_oa":true,"landing_page_url":"https://doi.org/10.3389/fams.2025.1554144","pdf_url":"https://www.frontiersin.org/journals/applied-mathematics-and-statistics/articles/10.3389/fams.2025.1554144/pdf","source":{"id":"https://openalex.org/S2597085352","display_name":"Frontiers in Applied Mathematics and Statistics","issn_l":"2297-4687","issn":["2297-4687"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310320527","host_organization_name":"Frontiers Media","host_organization_lineage":["https://openalex.org/P4310320527"],"host_organization_lineage_names":["Frontiers Media"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Frontiers in Applied Mathematics and Statistics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://www.frontiersin.org/journals/applied-mathematics-and-statistics/articles/10.3389/fams.2025.1554144/pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5095044405","display_name":"Abesalom Webb","orcid":null},"institutions":[{"id":"https://openalex.org/I2800425969","display_name":"West Coast University","ror":"https://ror.org/04jj38x11","country_code":"US","type":"education","lineage":["https://openalex.org/I2800425969"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Abe Webb","raw_affiliation_strings":["Westchester Research, Los Angeles, CA, United States"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Westchester Research, Los Angeles, CA, United States","institution_ids":["https://openalex.org/I2800425969"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5043191620","display_name":"Siddharth Mahajan","orcid":"https://orcid.org/0000-0002-1097-7013"},"institutions":[{"id":"https://openalex.org/I2800425969","display_name":"West Coast University","ror":"https://ror.org/04jj38x11","country_code":"US","type":"education","lineage":["https://openalex.org/I2800425969"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Siddharth Mahajan","raw_affiliation_strings":["Westchester Research, Los Angeles, CA, United States"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Westchester Research, Los Angeles, CA, United States","institution_ids":["https://openalex.org/I2800425969"]}]},{"author_position":"middle","author":{"id":null,"display_name":"Mateo Sandhu","orcid":null},"institutions":[{"id":"https://openalex.org/I2800425969","display_name":"West Coast University","ror":"https://ror.org/04jj38x11","country_code":"US","type":"education","lineage":["https://openalex.org/I2800425969"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Mateo Sandhu","raw_affiliation_strings":["Westchester Research, Los Angeles, CA, United States"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Westchester Research, Los Angeles, CA, United States","institution_ids":["https://openalex.org/I2800425969"]}]},{"author_position":"middle","author":{"id":null,"display_name":"Rohan Agarwal","orcid":null},"institutions":[{"id":"https://openalex.org/I2800425969","display_name":"West Coast University","ror":"https://ror.org/04jj38x11","country_code":"US","type":"education","lineage":["https://openalex.org/I2800425969"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Rohan Agarwal","raw_affiliation_strings":["Westchester Research, Los Angeles, CA, United States"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Westchester Research, Los Angeles, CA, United States","institution_ids":["https://openalex.org/I2800425969"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5118603821","display_name":"Arjun Velan","orcid":null},"institutions":[{"id":"https://openalex.org/I2800425969","display_name":"West Coast University","ror":"https://ror.org/04jj38x11","country_code":"US","type":"education","lineage":["https://openalex.org/I2800425969"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Arjun Velan","raw_affiliation_strings":["Westchester Research, Los Angeles, CA, United States"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Westchester Research, Los Angeles, CA, United States","institution_ids":["https://openalex.org/I2800425969"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5095044405"],"corresponding_institution_ids":["https://openalex.org/I2800425969"],"apc_list":{"value":1175,"currency":"CHF","value_usd":1418},"apc_paid":{"value":1175,"currency":"CHF","value_usd":1418},"fwci":2.9536,"has_fulltext":true,"cited_by_count":2,"citation_normalized_percentile":{"value":0.91669166,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":97,"max":98},"biblio":{"volume":"11","issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9980000257492065,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9980000257492065,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9968000054359436,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9873999953269958,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/hurst-exponent","display_name":"Hurst exponent","score":0.7086071372032166},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.624902606010437},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5868754982948303},{"id":"https://openalex.org/keywords/fractal","display_name":"Fractal","score":0.5784763097763062},{"id":"https://openalex.org/keywords/equity","display_name":"Equity (law)","score":0.5558788180351257},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.497830867767334},{"id":"https://openalex.org/keywords/detrended-fluctuation-analysis","display_name":"Detrended fluctuation analysis","score":0.4636244773864746},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.3554706871509552},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.3331075608730316},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.32842403650283813},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.30260640382766724},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.1582029163837433},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.11116653680801392}],"concepts":[{"id":"https://openalex.org/C96835011","wikidata":"https://www.wikidata.org/wiki/Q1638718","display_name":"Hurst exponent","level":2,"score":0.7086071372032166},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.624902606010437},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5868754982948303},{"id":"https://openalex.org/C40636538","wikidata":"https://www.wikidata.org/wiki/Q81392","display_name":"Fractal","level":2,"score":0.5784763097763062},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.5558788180351257},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.497830867767334},{"id":"https://openalex.org/C21689155","wikidata":"https://www.wikidata.org/wiki/Q2451452","display_name":"Detrended fluctuation analysis","level":3,"score":0.4636244773864746},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3554706871509552},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.3331075608730316},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.32842403650283813},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.30260640382766724},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.1582029163837433},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.11116653680801392},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C99844830","wikidata":"https://www.wikidata.org/wiki/Q102441924","display_name":"Scaling","level":2,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.3389/fams.2025.1554144","is_oa":true,"landing_page_url":"https://doi.org/10.3389/fams.2025.1554144","pdf_url":"https://www.frontiersin.org/journals/applied-mathematics-and-statistics/articles/10.3389/fams.2025.1554144/pdf","source":{"id":"https://openalex.org/S2597085352","display_name":"Frontiers in Applied Mathematics and Statistics","issn_l":"2297-4687","issn":["2297-4687"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310320527","host_organization_name":"Frontiers Media","host_organization_lineage":["https://openalex.org/P4310320527"],"host_organization_lineage_names":["Frontiers Media"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Frontiers in Applied Mathematics and Statistics","raw_type":"journal-article"},{"id":"pmh:oai:doaj.org/article:1e55d2e77c8844d9ab690660ac7f6507","is_oa":true,"landing_page_url":"https://doaj.org/article/1e55d2e77c8844d9ab690660ac7f6507","pdf_url":null,"source":{"id":"https://openalex.org/S4306401280","display_name":"DOAJ (DOAJ: Directory of Open Access Journals)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Frontiers in Applied Mathematics and Statistics, Vol 11 (2025)","raw_type":"article"}],"best_oa_location":{"id":"doi:10.3389/fams.2025.1554144","is_oa":true,"landing_page_url":"https://doi.org/10.3389/fams.2025.1554144","pdf_url":"https://www.frontiersin.org/journals/applied-mathematics-and-statistics/articles/10.3389/fams.2025.1554144/pdf","source":{"id":"https://openalex.org/S2597085352","display_name":"Frontiers in Applied Mathematics and Statistics","issn_l":"2297-4687","issn":["2297-4687"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310320527","host_organization_name":"Frontiers Media","host_organization_lineage":["https://openalex.org/P4310320527"],"host_organization_lineage_names":["Frontiers Media"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Frontiers in Applied Mathematics and Statistics","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4411572694.pdf","grobid_xml":"https://content.openalex.org/works/W4411572694.grobid-xml"},"referenced_works_count":14,"referenced_works":["https://openalex.org/W124040795","https://openalex.org/W228380312","https://openalex.org/W435829561","https://openalex.org/W1578254027","https://openalex.org/W1599341303","https://openalex.org/W1830719945","https://openalex.org/W1979575715","https://openalex.org/W2054599015","https://openalex.org/W2146134639","https://openalex.org/W2158595111","https://openalex.org/W2164214015","https://openalex.org/W2906051489","https://openalex.org/W3122305330","https://openalex.org/W4291327732"],"related_works":["https://openalex.org/W4321505114","https://openalex.org/W2401810189","https://openalex.org/W2057384585","https://openalex.org/W2035064929","https://openalex.org/W2795419853","https://openalex.org/W2911012399","https://openalex.org/W2073997720","https://openalex.org/W2997775184","https://openalex.org/W2125635163","https://openalex.org/W2295704901"],"abstract_inverted_index":{"We":[0],"propose":[1],"a":[2,9,46,93,100,180],"dynamic":[3],"fractional":[4,41],"volatility":[5,42,188],"model":[6,59,130,140],"that":[7,154,190],"incorporates":[8],"time-varying":[10],"Hurst":[11],"exponent":[12],"estimated":[13],"via":[14],"Daubechies-4":[15],"wavelet":[16],"analysis":[17],"on":[18],"252-day":[19],"rolling":[20],"windows":[21],"to":[22,62,79,113,133],"capture":[23],"evolving":[24],"market":[25,56,136],"memory":[26,48],"effects":[27],"in":[28,87,97,104,204],"equity":[29],"markets.":[30],"This":[31],"approach":[32],"overcomes":[33],"the":[34,67,129,139,169,173],"limitations":[35],"of":[36,66,148,155,172],"traditional":[37,156],"GARCH-type":[38],"and":[39,50,55,99,182,199],"static":[40],"models,":[43],"which":[44,167],"assume":[45],"constant":[47],"parameter":[49,126],"struggle":[51],"during":[52],"regime":[53],"shifts":[54],"stress.":[57],"The":[58],"is":[60,122],"applied":[61],"daily":[63,125],"closing":[64],"prices":[65],"S&P":[68],"500":[69],"Index":[70],"over":[71],"1,258":[72],"trading":[73,201],"days":[74],"from":[75],"January":[76],"1,":[77],"2015":[78],"December":[80],"31,":[81],"2019,":[82],"yielding":[83],"statistically":[84],"significant":[85],"improvements":[86],"forecasting":[88,189],"performance.":[89],"Empirical":[90],"results":[91],"indicate":[92],"12.3":[94],"%":[95,102],"reduction":[96],"RMSE":[98],"9.8":[101],"improvement":[103],"MAPE,":[105],"with":[106,119],"an":[107,142],"out-of-sample":[108],"R-squared":[109],"exceeding":[110],"0.72":[111],"compared":[112],"benchmark":[114],"models.":[115],"Maximum":[116],"likelihood":[117],"estimation":[118],"Fisher":[120],"scoring":[121],"used":[123],"for":[124,186,194],"updates,":[127],"ensuring":[128],"remains":[131],"responsive":[132],"rapidly":[134],"changing":[135],"conditions.":[137],"Additionally,":[138],"achieves":[141],"average":[143],"absolute":[144],"option":[145],"pricing":[146],"error":[147],"1.8":[149],"%,":[150],"markedly":[151],"lower":[152],"than":[153],"specifications.":[157],"These":[158],"enhancements":[159],"are":[160],"further":[161],"corroborated":[162],"by":[163],"pairwise":[164],"Diebold\u2013Mariano":[165],"tests,":[166],"confirm":[168],"statistical":[170,206],"significance":[171],"forecast":[174],"improvements.":[175],"Overall,":[176],"this":[177],"framework":[178],"offers":[179],"rigorous":[181],"computationally":[183],"efficient":[184],"method":[185],"real-time":[187],"delivers":[191],"substantial":[192],"benefits":[193],"risk":[195],"management,":[196],"derivative":[197],"pricing,":[198],"automated":[200],"strategies,":[202],"grounded":[203],"robust":[205],"methodology.":[207]},"counts_by_year":[{"year":2026,"cited_by_count":2}],"updated_date":"2026-08-21T09:56:20.448147","created_date":"2025-10-10T00:00:00"}
