Multiresolution analysis of fluctuations in non-stationary time series through discrete wavelets

We illustrate the efficacy of a discrete wavelet based approach to characterize fluctuations in non-stationary time series. The present approach complements the multifractal detrended fluctuation analysis (MF-DFA) method and is quite accurate for small size data sets. As compared to polynomial fits in the MF-DFA, a single Daubechies wavelet is used here for detrending purposes. The natural, built-in variable window size in wavelet transforms makes this procedure well suited for non-stationary data. We illustrate the working of this method through the analysis of binomial multifractal model. For this model, our results compare well with those calculated analytically and obtained numerically through MF-DFA. To show the efficacy of this approach for finite data sets, we also do the above comparison for Gaussian white noise time series of different sizes. In addition, we analyze time series of three experimental data sets of tokamak plasma and also spin density fluctuations in 2D Ising model.     

Multifractal Detrended Fluctuation Analysis of Interevent Time Series in a Modified OFC Model

We use multifractal detrended fluctuation analysis(MF-DFA) method to investigate the multifractal behavior of the interevent time series in a modified Olami-Feder-Christensen(OFC) earthquake model on assortative scale-free networks.We determine generalized Hurst exponent and singularity spectrum and find that these fluctuations have multifractal nature.Comparing the MF-DFA results for the original interevent time series with those for shuffled and surrogate series,we conclude that the origin of multifractality is due to both the broadness of probability density function and long-range correlation.     

Forecasting volatility in Shanghai and Shenzhen markets based on multifractal analysis

This paper analyzes the multifractality in Shanghai and Shenzhen stock markets using multifractal spectrum analysis and multifractal detrended fluctuation analysis. We find that the main source of multifractality is long-range correlations of large and small fluctuations. Then, we introduce a multifractal volatility measure (MV) and find that by taking MV as daily conditional volatility, the simulated series displayed similar “stylized facts” to the original daily return series. By capturing the dynamics of MV using the ARFIMA model, we find that the out-of-sample forecasting performance of the ARFIMA-MV model is better than some GARCH-class models and the ARFIMA-RV model under some criteria of loss function.     

Fluctuation behaviors of financial time series by a stochastic Ising system on a Sierpinski carpet lattice

We develop a financial market model using an Ising spin system on a Sierpinski carpet lattice that breaks the equal status of each spin. To study the fluctuation behavior of the financial model, we present numerical research based on Monte Carlo simulation in conjunction with the statistical analysis and multifractal analysis of the financial time series. We extract the multifractal spectra by selecting various lattice size values of the Sierpinski carpet, and the inverse temperature of the Ising dynamic system. We also investigate the statistical fluctuation behavior, the time-varying volatility clustering, and the multifractality of returns for the indices SSE, SZSE, DJIA, IXIC, S&P500, HSI, N225, and for the simulation data derived from the Ising model on the Sierpinski carpet lattice. A numerical study of the model’s dynamical properties reveals that this financial model reproduces important features of the empirical data.     

Joint multifractal analysis based on wavelet leaders

Mutually interacting components form complex systems and these components usually have long-range cross-correlated outputs. Using wavelet leaders, we propose a method for characterizing the joint multifractal nature of these long-range cross correlations; we call this method joint multifractal analysis based on wavelet leaders (MF-X-WL). We test the validity of the MF-X-WL method by performing extensive numerical experiments on dual binomial measures with multifractal cross correlations and bivariate fractional Brownian motions (bFBMs) with monofractal cross correlations. Both experiments indicate that MF-X-WL is capable of detecting cross correlations in synthetic data with acceptable estimating errors. We also apply the MF-X-WL method to pairs of series from financial markets (returns and volatilities) and online worlds (online numbers of different genders and different societies) and determine intriguing joint multifractal behavior.     

Multifractal description of wind power fluctuations using arbitrary order Hilbert spectral analysis

The objectives are to study and model the aggregate wind power fluctuations dynamics in the multifractal framework. We present here the analysis of aggregate power output sampled at 1 Hz during three years. We decompose the data into several Intrinsic Mode Functions (IMFs) using Empirical Mode Decomposition (EMD). We use a new approach, arbitrary order Hilbert spectral analysis, a combination of the EMD approach with Hilbert spectral analysis (or Hilbert–Huang Transform) and the classical structure-function analysis to extract the scaling exponents or multifractal spectrum ζ(q)$\zeta \left(q\right)$: this function provides a full characterization of a process at all intensities and all scales. The application of both methods, i.e. structure-function and arbitrary-order Hilbert spectral analyses, gives similar results indicating that the aggregate power output from a wind farm, possesses intermittent and multifractal properties. In order to check this result, we generate stochastic simulations of a Multifractal Random Walk (MRW) using a log-normal stochastic equation. We show that the simulation results are fully compatible with the experimental results.     

Research on the relationship between the multifractality and long memory of realized volatility in the SSECI

We examine the multifractal properties of the realized volatility (RV) and realized bipower variation (RBV) series in the Shanghai Stock Exchange Composite Index (SSECI) by using the multifractal detrended fluctuation analysis (MF-DFA) method. We find that there exist distinct multifractal characteristics in the volatility series. The contributions of two different types of source of multifractality, namely, fat-tailed probability distributions and nonlinear temporal correlations, are studied. By using the unit root test, we also find the strength of the multifractality of the volatility time series is insensitive to the sampling frequency but that the long memory of these series is sensitive.     

A Markov model of financial returns

We address the general problem of how to quantify the kinematics of time series with stationary first moments but having non stationary multifractal long-range correlated second moments. We show that a Markov process is sufficient to model important aspects of the multifractality observed in financial time series and propose a kinematic model of price fluctuations. We test the proposed model by analyzing index closing prices of the New York Stock Exchange and the DEM/USD tick-by-tick exchange rates obtained from Reuters EFX. We show that the model captures the characteristic features observed in actual financial time series, including volatility clustering, time scaling and fat tails in the probability density functions, power-law behavior of volatility correlations and, most importantly, the observed nonuniversal multifractal singularity spectrum. Motivated by our finding of strong agreement between the model and the data, we argue that at least two independent stochastic Gaussian variables are required to adequately model price fluctuations.     

基于多分辨分析的高炉铁水含硅量波动多重分形辨识

以包钢6号高炉、邯钢7号高炉和莱钢1号高炉在线采集的铁水含硅量(［Si］)的时间序列为样本, 利用多分辨分析剔除样本的长期趋势,对样本保留的波动趋势进行多重分形特征辨识. 通过计算广义Hurst指数、尺度函数、多重分形谱, 全面、细致量化了序列的局部及不同层次的波动奇异性. 计算结果表明: 去除长期趋势后, 三座高炉［Si］序列的波动呈现显著多重分形特征, 这样的波动过程仅用单一的Hurst指数或box维数来描述是不够的. 关键词： 多分辨分析 铁水含硅量 波动 多重分形     

Multifractal properties of the Indian financial market

We investigate the multifractal properties of the logarithmic returns of the Indian financial indices (BSE & NSE) by applying the multifractal detrended fluctuation analysis. The results are compared with that of the US S&P 500 index. Numerically we find that qth-order generalized Hurst exponents h(q) and τ(q) change with the moments q. The nonlinear dependence of these scaling exponents and the singularity spectrum f(α) show that the returns possess multifractality. By comparing the MF-DFA results of the original series to those for the shuffled series, we find that the multifractality is due to the contributions of long-range correlations as well as the broad probability density function. The financial markets studied here are compared with the Binomial Multifractal Model (BMFM) and have a smaller multifractal strength than the BMFM.     

Modeling electricity spot and futures price dependence: A multifrequency approach

Electricity prices are known to exhibit multifractal properties. We accommodate this finding by investigating multifractal models for electricity prices. In this paper we propose a flexible Copula-MSM (Markov Switching Multifractal) approach for modeling spot and weekly futures price dynamics. By using a conditional copula function, the framework allows us to separately model the dependence structure, while enabling use of multifractal stochastic volatility models to characterize fluctuations in marginal returns. An empirical experiment is carried out using data from Nord Pool. A study of volatility forecasting performance for electricity spot prices reveals that multifractal techniques are a competitive alternative to GARCH models. We also demonstrate how the Copula-MSM model can be employed for finding optimal portfolios, which minimizes the Conditional Value-at-Risk.     

Multifractal detrended fluctuation analysis of derivative and spot markets

We investigate the multifractal properties of price increments in the cases of derivative and spot markets. Through the multifractal detrended fluctuation analysis, we estimate the generalized Hurst and the Renyi exponents for price fluctuations. By deriving the singularity spectrum from the above exponents, we quantify the multifractality of a financial time series and compare the multifractal properties of two different markets. The different behavior of each agent-group in transactions is also discussed. In order to identify the nature of the underlying multifractality, we apply the method of surrogate data to both sets of financial data. It is shown that multifractality due to a fat-tailed distribution is significant.     

Are crude oil markets multifractal? Evidence from MF-DFA and MF-SSA perspectives

In this article, we investigated the multifractality and its underlying formation mechanisms in international crude oil markets, namely, Brent and WTI, which are the most important oil pricing benchmarks globally. We attempt to find the answers to the following questions: (1) Are those different markets multifractal? (2) What are the dynamical causes for multifractality in those markets (if any)? To answer these questions, we applied both multifractal detrended fluctuation analysis (MF-DFA) and multifractal singular spectrum analysis (MF-SSA) based on the partition function, two widely used multifractality detecting methods. We found that both markets exhibit multifractal properties by means of these methods. Furthermore, in order to identify the underlying formation mechanisms of multifractal features, we destroyed the underlying nonlinear temporal correlation by shuffling the original time series; thus, we identified that the causes of the multifractality are influenced mainly by a nonlinear temporal correlation mechanism instead of a non-Gaussian distribution. At last, by tracking the evolution of left- and right-half multifractal spectra, we found that the dynamics of the large price fluctuations is significantly different from that of the small ones. Our main contribution is that we not only provided empirical evidence of the existence of multifractality in the markets, but also the sources of multifractality and plausible explanations to current literature; furthermore, we investigated the different dynamical price behaviors influenced by large and small price fluctuations.     

Multi-scale properties of large eddy simulations: correlations between resolved-scale velocity-field increments and subgrid-scale quantities

We provide analytical and numerical results concerning multi-scale correlations between the resolved velocity field and the subgrid-scale (SGS) stress-tensor in large eddy simulations (LES). Following previous studies for Navier–Stokes equations, we derive the exact hierarchy of LES equations governing the spatio-temporal evolution of velocity structure functions of any order. The aim is to assess the influence of the subgrid model on the inertial range intermittency. We provide a series of predictions, within the multifractal theory, for the scaling of correlation involving the SGS stress and we compare them against numerical results from high-resolution Smagorinsky LES and from a-priori filtered data generated from direct numerical simulations (DNS). We find that LES data generally agree very well with filtered DNS results and with the multifractal prediction for all leading terms in the balance equations. Discrepancies are measured for some of the sub-leading terms involving cross-correlation between resolved velocity increments and the SGS tensor or the SGS energy transfer, suggesting that there must be room to improve the SGS modelisation to further extend the inertial range properties for any fixed LES resolution.     

Log-Infinitely Divisible Multifractal Processes

 We define a large class of multifractal random measures and processes with arbitrary log-infinitely divisible exact or asymptotic scaling law. These processes generalize within a unified framework both the recently defined log-normal Multifractal Random Walk processes (MRW) [33, 3] and the log-Poisson ``product of cylindrical pulses' [7]. Their construction involves some ``continuous stochastic multiplication' [36] from coarse to fine scales. They are obtained as limit processes when the finest scale goes to zero. We prove the existence of these limits and we study their main statistical properties including non-degeneracy, convergence of the moments and multifractal scaling. Received: 8 July 2002 / Accepted: 17 December 2002 Published online: 14 April 2003 Communicated by A. Connes     

Quantifying bid-ask spreads in the Chinese stock market using limit-order book data

The statistical properties of the bid-ask spread of a frequently traded Chinese stock listed on the Shenzhen Stock Exchange are investigated using the limit-order book data. Three different definitions of spread are considered based on the time right before transactions, the time whenever the highest buying price or the lowest selling price changes, and a fixed time interval. The results are qualitatively similar no matter linear prices or logarithmic prices are used. The average spread exhibits evident intraday patterns consisting of a big L-shape in morning transactions and a small L-shape in the afternoon. The distributions of the spread with different definitions decay as power laws. The tail exponents of spreads at transaction level are well within the interval (2,3) and that of average spreads are well in line with the inverse cubic law for different time intervals. Based on the detrended fluctuation analysis, we found the evidence of long memory in the bid-ask spread time series for all three definitions, even after the removal of the intraday pattern. Using the classical box-counting approach for multifractal analysis, we show that the time series of bid-ask spread do not possess multifractal nature.     

Self-affine and ARX-models zonation of well logging data

Zonation of time series into models which their parameters are piecewise constant are important and well-studied problems. Geophysical well logging data often show a complex pattern due to their multifractal nature. In a multifractal system, any pieces of it are established by a distinct exponent that can characterize them. This feature has the capability to cluster them. Self-affine zonation by Auto Regressive model with exogenous inputs (ARX) is a new approach which places well logging segments in the clusters which are more self-affine against the other clusters. This approach was performed and compared with a conventional ARX zonation in the well logging data of three different oilfields in southern parts of Iran. The results showed a good accuracy for detecting homogeneous lithological segments and led to a precise interpretation process to update the reservoir architecture.     

True and apparent scaling: The proximity of the Markov-switching multifractal model to long-range dependence

In this paper, we consider daily financial data of a collection of different stock market indices, exchange rates, and interest rates, and we analyze their multi-scaling properties by estimating a simple specification of the Markov-switching multifractal (MSM) model. In order to see how well the estimated model captures the temporal dependence of the data, we estimate and compare the scaling exponents H(q) (for q=1,2) for both empirical data and simulated data of the MSM model. In most cases the multifractal model appears to generate ‘apparent’ long memory in agreement with the empirical scaling laws.