multifractal returns in mining industry

Modeling Dynamic Multifractal Efficiency of US Electricity …

The dramatic deregulatory reforms in US electricity markets increased competition, resulting in more complex prices compared to other commodities. This paper aims to investigate and compare the overall and time-varying multifractality and efficiency of four major US electricity regions: Mass Hub, Mid C, Palo Verde, and PJM West. …

Multifractal analysis of Moroccan family business stock returns

Multifractal Cross-Correlation Analysis (MFCCA) approach was conducted for the empirical researches of the long-range correlations for time series pairs. The obtained multifractal characteristics showed that the finance sector achieved the highest persistence of cross-correlations, then the new energy, consumption, and medicine sector.

Modification of multifractal analysis based on multiplicative …

In this paper, we propose a two-dimensional multifractal detrended fluctuation norm (2D MF-DFN) method which is based on multifractal detrended fluctuation analysis (MF-DFA) with the norm constraints. The proposed 2D MF-DFN method is defined to adjust the internal structure of 2D MF-DFA by L p-norm constraint on the basis of 2D MF-DFA, …

Sustainability | Free Full-Text | Application of …

This study examines the nonlinear structure and multifractal behavior of the cross-correlation between geopolitical risk and energy markets (West Texas Intermediate (WTI), Brent, natural gas and heating …

Multifractal detrended cross-correlation analysis of …

The complex dynamics between carbon and crude oil markets have been an increasingly interesting area of research. In this paper, we try to take a fresh look at the cross-correlations between carbon and crude oil markets as well as their dynamic behavior employing multifractal detrended cross-correlation analysis. First, we find that the …

Skewed multifractal scaling of stock markets during the …

4. Empirical results4.1. Detecting change-points. Fig. 1 displays the raw time series and log-returns of the S&P 500, SSE, Nikkei 225, and Euronext 100 indexes, with their descriptive statistics and goodness-of-fit tests provided in Table 1.The daily samples cover the period from January 1, 2018, to November 24, 2021, which was marked by the …

Discrimination of Microseismic Events in Coal Mine …

Discrimination of various microseismic (MS) events induced by blasting and mining in coal mines is significant for the evaluation and forecasting of rock bursts. In …

Multifractal returns and hierarchical portfolio theory

Read this article. We extend and test empirically the multifractal model of asset returns based on a multiplicative cascade of volatilities from large to small …

A new hazard event classification model via deep learning and multifractal

We propose a new HaE classifier driven by deep learning and multifractal analysis, termed DLF, which can contribute to the intelligent development of industrial safety. This section is the whole procedure of DLF, see Fig. 1. First, we vectorize the HaE from HAZOP reports through BERT to form HaE time series.

Multifractal Spectrum

Fractal Measures. Kenneth J. Falconer, in Handbook of Measure Theory, 2002. 3.4 Geometry of multifractal measures. It is natural to seek identities relating the multifractal spectra of measures to those of their products, projections, intersections, etc., analogous to the geometric properties of dimensions of sets mentioned in Section …

Multifractal analysis in mining microseismicity …

Multifractal analysis in mining microseismicity and its application to seismic hazard in mine. Denisse Pastén a,b,n, Rodrigo Estay a,d, Diana Comte a,c, Javier Vallejos a,d. a …

Multifractality in Asset Returns: Theory and Evidence

This paper investigates the multifractal model of asset returns (MMAR), a class of continuous-time processes that incorporate the thick tails and volatility …

Asymmetric multifractality in China's energy market based …

In this section, the MF-ACCA algorithm is used to study the asymmetric multifractal correlation between the energy index return series from China. To eliminate possible deviations in the estimation of the fluctuation function, the order of the fluctuation function is selected as q ∈ [ − 2, 2 ], and the least squares fitting order of m = 2 ...

International investors and the multifractality property: Evidence from

Fig. 1 displays the indices and returns series plots of AHA and AHH respectively, the horizontal axis is the time axis and the vertical axis is the daily indices and returns values for the two indices, respectively. In general, the fluctuations and trends of AHA and AHH are similar due to the same fundamentals and external shocks. However, …

Multifractal behavior in return and volatility series of …

In this study, we compared the multifractal properties of return and volatility (proxied by absolute and squared returns) series of Bitcoin and gold. We obtained one data set for Bitcoin for the period of 02.02.2012–30.10.2019, and for gold for the period of 01.01.1980–30.10.2019 from investing.

The effect of the COVID-19 pandemic on multifractals of price returns …

Examining multifractal properties in both price returns and variations in trading volume, as both series carry valuable information for investors and traders and could help understanding the microstructure of cryptocurrency markets, 2. Comparing multifractal properties estimated before and during the COVID-19 pandemic, 3.

Multifractals and multiscale entropy patterns in energy

Besides, according to Fig. 3, for Brent, WTI and gasoline markets, the width of multifractal spectrum D(h) during the pandemic is obviously larger than that before the pandemic.For instance, the width of the multifractal spectrum of price returns in Brent market is 0.6755 (1.3526) before (during) the pandemic, for WTI market is 0.6490 …

Abstract arXiv:1806.07604v1 [q-fin.ST] 20 Jun 2018

the returns contain more large values, which results in a right-hooked multifractal spectrum, as illustrated in Fig. 1 (d), (e), and (f). Window 3 is from6 December 2004to 10 December 2004. The results of window 3 plotted in Fig. 1 (g), (h), and (i) demonstrate that a symmetric multifractal spectrum results from the fact that the fraction of ...

Multifractal behavior in return and volatility series of Bitcoin and

We applied MFDFA through the particular periods given in Fig. 1 for original, shuffled and surrogate time series, taking q varying between − 10 and 10, with a step of 0.4. Scale is s = 16, 19, 21, 25, …, 302; where 302 is the length of a sub-period with smallest number of observations.Additionally, we analyzed the multifractality in original return …

Multifractal analysis of the WTI crude oil market, US

Abstract. This paper adopts multifractal methods to analyze the nonlinear correlations among economic policy uncertainty (EPU), the crude oil market and the stock market. First, using multifractal detrended fluctuation analysis (MF-DFA), we find that each of the three series shows multifractality, and the sources of multifractality are all from ...

Entropy | Free Full-Text | Multifractal Behaviors of Stock

The financial market is a complex system, which has become more complicated due to the sudden impact of the COVID-19 pandemic in 2020. As a result there may be much higher degree of uncertainty and volatility clustering in stock markets. How does this "black swan" event affect the fractal behaviors of the stock market? How to …

Multifractal analysis of Shanghai and Hong Kong stock markets …

Recently, some papers have begun to concentrate on the multifractal behaviour in China's stock markets. Yang et al. [27] found that both returns and volatilities of China's energy industry index displayed significantly multifractal behaviour based on the MF-DFA; and oil market was an important source of multifractality in energy stocks index.

Power spectrum and multifractal detrended fluctuation

Fortuna et al. [15] applied the multifractal detrended fluctuation analysis (MFDFA) to several hourly wind speed series in Italy and USA and all of them were characterized by similar values of the multifractal width (width of the multifractal spectrum, measuring the degree of the multifractality) ranging between 0.39 and 0.59. de …

Multifractal characterization of gold market: A multifractal …

The multifractal detrended fluctuation analysis technique is employed to analyze the time series of gold consumer price index (CPI) and the market trend of three world's highest gold consuming countries, namely China, India and Turkey for the period: 1993–July 2013. Various multifractal variables, such as the generalized Hurst exponent, …

(PDF) Multifractal Returns and Hierarchical Portfolio …

The multifractal description of asset fluctuations is generalized into a multivariate framework to account simultaneously for correlations across times scales and …

Multifractal behavior of price and volume changes in the cryptocurrency

In this work we investigate the multifractal behavior of daily price changes and daily volume changes for the cryptocurrency market, namely fifty cryptocurrencies including Bitcoin. We apply the MF-DFA method to calculate the multifractal spectra and estimate the complexity parameters from a fourth degree polynomial fit.

Fractal Fract | Free Full-Text | Stock Index Return Volatility

Financial prediction persists a strenuous task in Fintech research. This paper introduces a multifractal asymmetric detrended cross-correlation analysis (MF-ADCCA)-based deep learning forecasting model to predict a succeeding day log return via excitatory and inhibitory neuronal synapse unit (EINS) using asymmetric Hurst exponent as input …

Comparison of the multifractal characteristics of heavy …

3 55 anthropogenic activities. 56 Multifractal techniques include singularity mapping and multifractal 57 interpolation that enable more detailed analysis of the spatial distribution of heavy 58 metals, concentration-area modeling that can be used to define threshold values 59 between background (i.e. geological) and anthropogenic anomalies (Lima et al., 2003),

Bitcoin price–volume: A multifractal cross-correlation approach

Abstract. We study the price–volume cross-correlation in the Bitcoin market from July 17, 2010, to May 2, 2018, via the multifractal detrended cross-correlations analysis (MF-DCCA). Results show that Bitcoin prices changes and changes in trading volume mutually interact in a nonlinear way. Furthermore, multifractality is present and …

A multifractal model of asset (in)variances

The multifractal process is obtained by combining the multifractal cascade and a normally distributed random variable in a multiplicative manner. Interpreting the model's output as an asset return–generating process, we sum the squared returns of 5 and 20 consecutive, nonoverlapping trading days to compute weekly and monthly …