Kai-Cheng Xie

Multiscale Complexity and Irreversibility of Non-Stationary Time Series in Commodity Futures Markets

Commodity futures markets exhibit pronounced non-stationarity, nonlinearity, and multifractal characteristics that challenge traditional linear models. We employ a multiscale framework integrating four methodologies—MF-DCCA, PG irreversibility index, MSWPE, and JS-divergence segmentation—to analyze these features using...