Relationships of exponents in multifractal detrended fluctuation analysis and conventional multifractal analysis

Multifractal detrended fluctuation analysis (MF-DFA) is a relatively new method of multifractal analysis. It is extended from detrended fluctuation analysis (DFA), which was developed for detecting the long-range correlation and the fractal properties in stationary and non-stationary time series. Although MF-DFA has become a widely used method, some relationships among the exponents established in the original paper seem to be incorrect under the general situation. In this paper, we theoretically and experimentally demonstrate the invalidity of the expression τ(q)=qh(q)-1 stipulating the relationship between the multifractal exponent τ(q) and the generalized Hurst exponent h(q). As a replacement, a general relationship is established on the basis of the universal multifractal formalism for the stationary series as τ(q)=qh(q)-qH'-1, where H' is the nonconservation parameter in the universal multifractal formalism. The singular spectra, α and f(α), are also derived according to this new relationship.     

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.     

Multifractal analysis of polyalanines time series

Multifractal properties of the energy time series of short α-helix structures, specifically from a polyalanine family, are investigated through the MF-DFA technique (multifractal detrended fluctuation analysis). Estimates for the generalized Hurst exponent h(q) and its associated multifractal exponents τ(q) are obtained for several series generated by numerical simulations of molecular dynamics in different systems from distinct initial conformations. All simulations were performed using the GROMOS force field, implemented in the program THOR. The main results have shown that all series exhibit multifractal behavior depending on the number of residues and temperature. Moreover, the multifractal spectra reveal important aspects of the time evolution of the system and suggest that the nucleation process of the secondary structures during the visits on the energy hyper-surface is an essential feature of the folding process.     

Energy exchange in fast optical soliton collisions as a random cascade model

We study the dynamics of a probe soliton propagating in an optical fiber and exchanging energy in fast collisions with a random sequence of pump solitons. The energy exchange is induced by Raman scattering or by cubic nonlinear loss/gain. We show that the equation describing the dynamics of the probe soliton's amplitude has the same form as the equation for the local space average of energy dissipation in random cascade models in turbulence. We characterize the statistics of the probe soliton's amplitude by the τq exponents from multifractal theory and by the Cramér function S(x). We find that the nth moment of the two-time correlation function and the bit-error-rate contribution from amplitude decay exhibit power-law behavior as functions of propagation distance, where the exponents can be expressed in terms of τq or S(x).     

On spurious and corrupted multifractality: The effects of additive noise, short-term memory and periodic trends

We study the performance of multifractal detrended fluctuation analysis (MF-DFA) applied to long-term correlated and multifractal data records in the presence of additive white noise, short-term memory and periodicities. Such additions and disturbances that can be typically found in the observational records of various complex systems ranging from climate dynamics to physiology, network traffic, and finance. In monofractal records, we find that (i) additive white noise hardly results in spurious multifractality, but causes underestimated generalized Hurst exponents h(q) for all q values; (ii) short-range correlations lead to pronounced crossovers in the generalized fluctuation functions F_q(s) at positions that decrease with increasing moment q, thus causing significantly overestimated h(q) for small q and spurious multifractality; (iii) periodicities like seasonal trends (with standard deviations comparable with the one of the studied process) result in spurious “reversed” multifractality where h(q) increases with increasing q (except for very short time windows). We also show that in multifractal cascades moderate additions of noise, short-range memory, or periodic trends cause flawed results for h(q) with q<2, while h(q) with q>2 remains nearly unchanged.     

Light-Front Quantization of Conformally Gauge-Fixed Polyakov D1-Brane Action in the Presence of a Scalar Axion Field and an U(1) Gauge Field

Light-front quantization of the conformally gauge-fixed Polyakov D1 brane action in the presence of a constant background scalar axion field C(τ, σ) and an U(1) gauge field A _α (τ, σ) is studied. The axion field C and the U(1) gauge field A _α , are seen to behave like the Wess–Zumino (WZ) fields and the term involving these fields is seen to behave like a WZ term for this action.     

Multifractal analysis of fracture morphology of poly(ethylene-co-vinyl acetate)/carbon black conductive composite

In this paper, based on scanning electron microscope (SEM), the fracture morphology of poly(ethylene-co-vinyl acetate)/carbon black (EVA/CB) conductive composite with various cross-linkers 2,4-di(2-phenylisopropyl) phenol (DCP) contents were analysed by multifractal analysis. The relationship among the multifractal spectrum, cross-linker DCP content, the fracture morphology, fracture process and some mechanical property were discussed. The results showed that the larger the width Δα (Δα = α_max − α_min) of the multifractal spectra f(α), the more nonuniform the fracture surface morphology, in other words, the more the roughness. Moreover, the width Δα (Δα = α_max − α_min) of the multifractal spectra f(α) is the result of competition between ductile fracture and brittle fracture. Also, some mechanical property will correspondingly change when various cross-linker DCP contents were added. Multifractal analysis showed that the spectrum width Δα (Δα = α_max − α_min) of the multifractal spectra f(α) could be used to characterize the surface morphology and mechanical property of EVA/CB conductive composite, quantitatively.     

Statistical properties of volatility return intervals of Chinese stocks

The statistical properties of the return intervals τ_q between successive 1-min volatilities of 30 liquid Chinese stocks exceeding a certain threshold q are carefully studied. The Kolmogorov-Smirnov (KS) test shows that 12 stocks exhibit scaling behaviors in the distributions of τ_q for different thresholds q. Furthermore, the KS test and weighted KS test show that the scaled return interval distributions of 6 stocks (out of the 12 stocks) can be nicely fitted by a stretched exponential function with γ≈0.31 under the significance level of 5%, where is the mean return interval. The investigation of the conditional probability distribution P_q(τ|τ₀) and the mean conditional return interval 〈τ|τ₀〉 demonstrates the existence of short-term correlation between successive return interval intervals. We further study the mean return interval 〈τ|τ₀〉 after a cluster of n intervals and the fluctuation F(l) using detrended fluctuation analysis, and find that long-term memory also exists in the volatility return intervals.     

Multifractal analysis of the fracture surfaces of foamed polypropylene/polyethylene blends

The two-dimensional multifractal detrended fluctuation analysis is applied to reveal the multifractal properties of the fracture surfaces of foamed polypropylene/polyethylene (PP/PE) blends at different temperatures. Nice power-law scaling relationship between the detrended fluctuation function F_q and the scale s is observed for different orders q and the scaling exponent h(q) is found to be a nonlinear function of q, confirming the presence of multifractality in the fracture surfaces. The multifractal spectra f(α) are obtained numerically through Legendre transform. The shape of the multifractal spectrum of singularities can be well captured by the width of spectrum and the difference of dimension . With the increase of the PE content, the fracture surface becomes more irregular and complex, as is manifested by the facts that increases and decreases from positive to negative. A qualitative interpretation is provided based on the foaming process.     

Investigating wettability alteration due to asphaltene precipitation: Imprints in surface multifractal characteristics

In the present study, multifractality and its formalism were employed to investigate the surface characteristics of an asphaltene deposited heterogeneous solid surface. Wettability alteration of the solid surface was found to affect the multifractal characteristics of an asphaltene deposited heterogeneous surface. Multifractal spectra f(α) show that the more oil wet the surface, the wider the spectrum, and the higher the f_max. The notable distinction between the multifractal spectra associated with different surface wettabilities can be used as a new aspect of wettability alteration.     

Multifractality in stock indexes: Fact or Fiction?

Multifractal analysis and extensive statistical tests are performed upon intraday minutely data within individual trading days for four stock market indexes (including HSI, SZSC, S&P 500, and NASDAQ) to check whether the indexes (instead of the returns) possess multifractality. We find that the mass exponent τ(q) is linear and the singularity α(q) is close to 1 for all trading days and all indexes. Furthermore, we find strong evidence showing that the scaling behaviors of the original data sets cannot be distinguished from those of shuffled time series. Hence, the so-called multifractality in the intraday stock market indexes is merely an illusion.     

Clarifying the nature of the Johari-Goldstein β-relaxation and emphasising its fundamental importance

ABSTRACT

Since 1998 the primitive relaxation time τ ₀(T,P) of the Coupling Model (CM) and the Johari-Goldstein (JG) β-relaxation time τ_JG (T,P) are shown approximately equal in many glass-formers. The CM relation between τ ₀(T,P) and τ_α (T,P) at any T and P is exact. Additionally from the CM relation τ_α (T,P)/τ ₀(T,P) is exactly invariant to variations of T and P while τ_α (T,P) is kept constant, and τ ₀ is exactly a function of ρ ^γ/T like τ_α . However, since τ_JG (T,P) ≈ τ ₀(T,P), the exact invariance of τ_α (T,P)/τ ₀(T,P) leads to approximate invariance of τ_α (T,P)/τ_JG (T,P), and τ_JG is approximately a function of ρ ^γ/T. Notwithstanding, the CM prediction of the approximate relations between τ_β and τ_α were mistaken as exact relations by some researchers. In this paper, we remove this misunderstanding by demonstrating via simulations and experiments that the JG β-relaxation is comprised of processes with different length-scales and degrees of cooperativity, and the process is heterogeneous. The distribution of processes makes τ_JG (T,P) equivocal, because it is just a single relaxation time used to represent the different processes within the distribution, which may change on varying T and P, at constant τ_α (T,P). The problem is compounded if the β-relaxation is not resolved, and fitting procedure used to extract τ_JG (T,P) and τ_α (T,P). Despite the relations of τ_JG (T,P) to τ_α (T,P) are approximate, we show these properties of τ_JG (T,P) are truly remarkable, fundamental, general, and important.     

Scaling and memory effect in volatility return interval of the Chinese stock market

We investigate the probability distribution of the volatility return intervals τ for the Chinese stock market. We rescale both the probability distribution P_q(τ) and the volatility return intervals τ as to obtain a uniform scaling curve for different threshold value q. The scaling curve can be well fitted by the stretched exponential function , which suggests memory exists in τ. To demonstrate the memory effect, we investigate the conditional probability distribution P_q(τ|τ₀), the mean conditional interval 〈τ|τ₀〉 and the cumulative probability distribution of the cluster size of τ. The results show clear clustering effect. We further investigate the persistence probability distribution P_±(t) and find that P₋(t) decays by a power law with the exponent far different from the value 0.5 for the random walk, which further confirms long memory exists in τ. The scaling and long memory effect of τ for the Chinese stock market are similar to those obtained from the United States and the Japanese financial markets.     

Continuous time Black-Scholes equation with transaction costs in subdiffusive fractional Brownian motion regime

In this paper, we study the problem of continuous time option pricing with transaction costs by using the homogeneous subdiffusive fractional Brownian motion (HFBM) Z(t)=X(S_α(t)), 0<α<1, here dX(τ)=μX(τ)(dτ)^2H+σX(τ)dB_H(τ), as a model of asset prices, which captures the subdiffusive characteristic of financial markets. We find the corresponding subdiffusive Black-Scholes equation and the Black-Scholes formula for the fair prices of European option, the turnover and transaction costs of replicating strategies. We also give the total transaction costs.     

Multifractal analysis of streamflow records of the East River basin (Pearl River), China

Scaling behaviors of the long daily streamflow series of four hydrological stations (Longchuan (1952-2002), Heyuan (1951-2002), Lingxia (1953-2002) and Boluo (1953-2002)) in the mainstream East River, one of the tributaries of the Pearl River (Zhujiang River) basin, were analyzed using multifractal detrended fluctuation analysis (MF-DFA). The research results indicated that streamflow series of the East River basin are characterized by anti-persistence. MF-DFA technique showed similar scaling properties in the streamflow series of the East River basin on shorter time scales, indicating universal scaling properties over the East River basin. Different intercept values of the fitted lines of log-log curve of F_q(s) versus s implied hydrological regulation of water reservoirs. Based on the numerical results, we suggested that regulation activities by water reservoirs could not impact the scaling properties of the streamflow series. The regulation activities by water reservoir only influenced the fluctuation magnitude. Therefore, we concluded that the streamflow variations were mainly the results of climate changes, and precipitation variations in particular. Strong dependence of generalized Hurst exponent h(q) on q demonstrated multifractal behavior of streamflow series of the East River basin, showing ‘universal’ multifractal behavior of river runoffs. The results of this study may provide valuable information for prediction and assessment of water resources under impacts of climatic changes and human activities in the East River basin.     

Strict parabolicity of the multifractal spectrum at the Anderson transition

Using the well-known “algebra of multifractality,” we derive the functional equation for anomalous dimensions Δ _q , whose solution Δ = χq(q–1) corresponds to strict parabolicity of the multifractal spectrum. This result demonstrates clearly that a correspondence of the nonlinear σ-models with the initial disordered systems is not exact.     

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.     

Boundary critical behaviour of two-dimensional random Potts models

Using extensive Monte Carlo simulations, transfer matrix techniques and conformal invariance, ferromagnetic random q-state Potts models for are studied in the vicinity of the critical temperature. In particular the surface and bulk magnetization exponents and are found monotonically increasing with q. At the critical temperature, different moments (n) of the magnetization profiles are calculated which are all found to accurately follow predictions of conformal invariance. The critical correlation functions show multifractal behaviour, the decay exponents of the different moments both in the volume and at the surface, are n-dependent. Received 4 June 1999     

Non-equilibrium structure factor for the disordering of adsorbed monolayers

We consider the non-equilibrium, time-dependent elastic-scattering structure factor S(q,t), for the disordering of an ordered overlayer, initially in equilibrium at temperature T_I and characterized by the structure factor S(q,0)=x(q,T_I, upon a sudden increase in temperature T_I→T_F at constant coverage, such that the adsorbates equilibrate at T_F in a disordered phase. The initial decay of a peak in x(q,T_I) proceeds exponentially in time, $\text{exp}\text{(−}\text{t}\text{τ}{}_{\mathrm{q}}\text{)}$, where τ_q is a wavevector-dependent lifetime, before it crosses over to a power-law, t⁻¹ decay. When x(q,T_I) is peaked at the boundaries of the Brillouin zone (BZ), the peak approximately maintains its shape in q-space as it decays exponentially. Except near the center of the BZ, after the peak has decayed sufficiently, the dependence of S(q,t) on q is as though the spins quasi-equilibrate to the equilibrium structure factor associated with T_F, x(q,T_F), in that the ratio $\text{S(q,t)}\text{x(q,T}{}_{\mathrm{<mtext>F</mtext>}}\text{)}$ is independent of q, is dependent on time, approaching unity as t⁻¹ for large t. For systems exhibiting an initial peak for q ≈ 0, the peak decays exponentially but does not preserve its shape, since τ_q strongly depends on q, diverging as q⁻² for q→0. For these systems too, away from the center of the BZ, $\text{S}\text{(q,t)}\text{x(q,T}{}_{\mathrm{<mtext>F</mtext>}}\text{)}$ rapidly evolves to a slowly decaying function of $\text{t}\text{t}{}_{\mathrm{w}}$, independent of q. In this case, however, the characteristic time scale, t_w, is anomalously long, proportional to ξ², where ξ is the correlation length associated with the initial state. This behavior of t_w can be related to the random walk of domain boundaries.     

Study of the structure of16O above 25 Mev by the reaction13C(τ, α)12C*(γ15.1)

The nucleus¹⁶O has been investigated within the excitation range of 25–32 MeV by means of the reaction¹³C(τ, α)¹²C^* _15.1(γ)¹²C. Excitation functions for the 15.1 MeVγ-rays, taken for bombarding energiesE _τ=2.6–12 MeV at 0? and 90?, exhibit some marked structures with widths of 0.5 to 1 MeV. As the (τ, α)-reaction leads to the 15.1 MeV,T=1 state, levels in¹⁶O underlying these structures should have largeT=1 components. Angular distributions of theα-particles coincident to the 15.1 MeVγ-rays show patterns typical for a direct process and are, therefore, compared with DWBA calculations.