NONLINEAR PROPERTIES, FRACTAL BEHAVIOR AND LONG-RANGE CORRELATION ANALYSIS OF THE CHINESE FUND MARKET

2010 ◽  
Vol 21 (01) ◽  
pp. 79-95 ◽  
Author(s):  
WEIBING DENG ◽  
WEI LI ◽  
XU CAI
Keyword(s):  
Long Range ◽  
Financial Market ◽  
Hurst Exponent ◽  
Statistical Hypothesis ◽  
Fluctuation Analysis ◽  
Statistical Hypothesis Testing ◽  
Self Similarity ◽  
Nonlinear Properties ◽  
Range Correlation ◽  
Detrended Fluctuation

Applying the statistical hypothesis testing, we investigate several nonlinear properties embedded in the return series of the Chinese Fund Market (CFM), which suggests the series is non-normal, auto-correlative and heteroskedastic. We hereby analyze the Hurst exponent of the return series in different timescales on the basis of the detrended fluctuation analysis (DFA) algorithm, and discuss the fractal behavior of the CFM. Furthermore, by studying the correlation of different weights in the volatility, we find the persistent long-range power-law correlation exists in the time series. We also provide hints that the above statistical properties are insensitive to the funds kind, and may be irrelevant to the market phases. Our work may reveal the self-similarity characteristics of the financial market and show a better understanding of the CFM.

scholarly journals Comparative Multifractal Detrended Fluctuation Analysis of Heavy Ion Interactions at a Few GeV to a Few Hundred GeV

2016 ◽  
Vol 2016 ◽  
pp. 1-9 ◽  
Author(s):  
Gopa Bhoumik ◽  
Argha Deb ◽  
Swarnapratim Bhattacharyya ◽  
Dipak Ghosh
Keyword(s):  
Long Range ◽  
Detrended Fluctuation Analysis ◽  
Heavy Ion ◽  
Projectile Energy ◽  
Fluctuation Analysis ◽  
Data Set ◽  
Multifractal Detrended Fluctuation Analysis ◽  
Range Correlation ◽  
Multifractal Property ◽  
Detrended Fluctuation

We have studied the multifractality of pion emission process in16O-AgBr interactions at 2.1 AGeV  and  60 AGeV,12C-AgBr  and  24Mg-AgBr interactions at 4.5 AGeV, and32S-AgBr interactions at 200 AGeV using Multifractal Detrended Fluctuation Analysis (MFDFA) method which is capable of extracting the actual multifractal property filtering out the average trend of fluctuation. The analysis reveals that the pseudorapidity distribution of the shower particles is multifractal in nature for all the interactions; that is, pion production mechanism has inbuilt multiscale self-similarity property. We have employed MFDFA method for randomly generated events for32S-AgBr interactions at 200 AGeV. Comparison of expt. results with those obtained from randomly generated data set reveals that the source of multifractality in our data is the presence of long range correlation. Comparing the results obtained from different interactions, it may be concluded that strength of multifractality decreases with projectile mass for the same projectile energy and for a particular projectile it increases with energy. The values of ordinary Hurst exponent suggest that there is long range correlation present in our data for all the interactions.

FRACTALITY EVIDENCE AND LONG-RANGE DEPENDENCE ON CAPITAL MARKETS: A HURST EXPONENT EVALUATION

Fractals ◽  
2014 ◽  
Vol 22 (04) ◽  
pp. 1450010 ◽  
Author(s):  
CAMELIA OPREAN ◽  
CRISTINA TĂNĂSESCU
Keyword(s):  
Random Walk ◽  
Stock Returns ◽  
Long Range ◽  
Capital Markets ◽  
Hurst Exponent ◽  
Efficient Market Hypothesis ◽  
Long Range Dependence ◽  
Fluctuation Analysis ◽  
Random Walk Hypothesis ◽  
Detrended Fluctuation

Since the existence of market memory could implicate the rejection of the efficient market hypothesis, the aim of this paper is to find any evidence that selected emergent capital markets (eight European and BRIC markets, namely Hungary, Romania, Estonia, Czech Republic, Brazil, Russia, India and China) evince long-range dependence or the random walk hypothesis. In this paper, the Hurst exponent as calculated by R/S fractal analysis and Detrended Fluctuation Analysis is our measure of long-range dependence in the series. The results reinforce our previous findings and suggest that if stock returns present long-range dependence, the random walk hypothesis is not valid anymore and neither is the market efficiency hypothesis.

MULTIFRACTAL DETRENDED FLUCTUATION ANALYSIS OF ELECTRIC LOAD SERIES

Fractals ◽  
2015 ◽  
Vol 23 (02) ◽  
pp. 1550010 ◽  
Author(s):  
XIAOHUI YUAN ◽  
BIN JI ◽  
YANBIN YUAN ◽  
YUEHUA HUANG ◽  
XIANSHAN LI ◽  
...  
Keyword(s):  
Time Series ◽  
Long Range ◽  
Detrended Fluctuation Analysis ◽  
Quadratic Function ◽  
Fluctuation Analysis ◽  
Electric Load ◽  
Multifractal Detrended Fluctuation Analysis ◽  
Range Correlation ◽  
Detrended Fluctuation ◽  
Multifractal Nature

Multifractal detrended fluctuation analysis (MF-DFA) method is applied to analyze the daily electric load time series. The results of the MF-DFA show that there are three crossover timescales at seven days, 15 days and 365 days approximately in the fluctuation function. Also we find that these fluctuations have multifractal nature with long range correlation behavior. The multifractal singularity spectrum of the daily electric load series has been fitted by the quadratic function model. Comparing the MF-DFA results of the original load series with those of shuffled and surrogate series, it concludes that the multifractal characteristics of the daily electric load time series is due to both broadness of the probability density function and long-range correlation, and the long-range correlation is dominant.

Quantifying Fractal Dynamics of Metallogenic Systems with Detrended Fluctuation Analysis

2012 ◽  
Vol 249-250 ◽  
pp. 26-30 ◽  
Author(s):  
Li Wan ◽  
Peng Chen ◽  
Zhao Xian Gong
Keyword(s):  
Long Range ◽  
Scale Invariance ◽  
Detrended Fluctuation Analysis ◽  
Dynamic Mechanism ◽  
Fluctuation Analysis ◽  
Fractional Dynamics ◽  
Scaling Exponents ◽  
Range Correlation ◽  
Detrended Fluctuation

In this paper, we analysed fractional dynamics behavior in metallogenic elements grade series, using detrended fluctuation analysis (DFA), with the objective to explore and understand the underlying dynamic mechanism. Our results show that the metallogenic elements grade series are the scale invariance and the long-range correlation. As in the case of element grade dynamics, the DFA scaling exponents can be used to discriminate mineral intensity.

MULTIFRACTAL STRUCTURE OF PSEUDORAPIDITY AND AZIMUTHAL DISTRIBUTIONS OF THE SHOWER PARTICLES IN Au + Au COLLISIONS AT 200 A GeV

2008 ◽  
Vol 23 (18) ◽  
pp. 2809-2816 ◽  
Author(s):  
Y. X. ZHANG ◽  
W. Y. QIAN ◽  
C. B. YANG
Keyword(s):  
Long Range ◽  
Detrended Fluctuation Analysis ◽  
Correlation Property ◽  
Fluctuation Analysis ◽  
Analysis Method ◽  
Multifractal Detrended Fluctuation Analysis ◽  
Range Correlation ◽  
Detrended Fluctuation

This paper analyzes the long-range correlation property and the corresponding multifractal structure of the distribution of shower particles in central Au + Au collisions at 200 A GeV by using the Multifractal Detrended Fluctuation Analysis method. The result shows that the pseudorapidity and azimuthal distributions of shower particles are multifractals in those collisions.

scholarly journals ESTIMATION OF LONG-RANGE CORRELATION SCALES BY SEISMOACOUSTIC EMISSION SIGNALS OF NEAR-SURFACE SEDIMENTARY ROCKS IN KAMCHATKA

2019 ◽  
pp. 190-200
Author(s):  
В.Н. Сычёв ◽  
М.А. Мищенко ◽  
С.А. Имашев ◽  
М.Е. Чешев
Keyword(s):  
Long Range ◽  
Ground Surface ◽  
Frequency Range ◽  
Self Similarity ◽  
Observation Site ◽  
Near Surface ◽  
Long Range Correlations ◽  
Seismic Receiver ◽  
Range Correlation ◽  
Geophysical Observation

На Камчатке в пункте комплексных геофизических наблюдений ИКИР ДВО РАН Карымшина для регистрации сигналов сейсмоакустической эмиссии на поверхности земли установлен измерительный комплекс. В качестве датчика сигналов используется трехкомпонентный пьезокерамический сейсмоприемник, который регистрирует колебательное ускорение в частотном диапазоне 0.5-400 Гц. Рассмотрен сейсмоакустический отклик на несколько региональных землетрясений с энергетическим классом Ks 11:0 в период 2017-2018 гг. При помощи статистических методов установлено самоподобие их структуры на ограниченном интервале временных масштабов. Это, в свою очередь, указывает на наличие дальних корреляций в рассматриваемой системе и позволяет получить оценку масштабов корреляций. A measurement complex is installed on the ground surface at Karymshina complex geophysical observation site of IKIR FEB RAS (Kamchatka) to record seismoacoustic emission signals. A three-component piezoceramic seismic receiver, which records oscillatory acceleration in the frequency range from 0.2 to 400 Hz, is used as the signal sensor. A series of seismoacoustic responses on regional earthquakes of 2017-2018 with the energy class Ks 11:0 has been considered. Self-similarity of their structures has been established in a limited interval of time scales by statistical methods. That, in its turn, indicates the presence of long-range correlations in the system under consideration and allows one to estimate correlation scales.

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