Price efficiency and safe-haven property of Bitcoin in relation to stocks in the pandemic era

Purpose When investors experience extreme uncertainty, they seek “safe havens” to reduce their risk, to limit their losses and to protect the value of their portfolios. The purpose of this paper is to examine the safe-haven properties of Bitcoin compared to the stock market. Design/methodology/approach Based on intraday data, this study compares the price efficiencies of Bitcoin and Morgan Stanley Capital Index (MSCI) using Multifractal Detrended Fluctuation Analysis for the second half of 2020. This study then evaluates Bitcoin’s safe-haven property using Detrended Partial-Cross-Correlation Analysis (DPCCA). Findings This study finds that the price efficiency of Bitcoin is lower than that of MSCI. Further, Bitcoin was not a safe haven at any time for the MSCI index. The net cross-correlations between Bitcoin and MSCI are weak and they vary at different time scales. Research limitations/implications The behavior of market prices varies over time. Therefore, it is important to replicate this study for other time periods. Social implications The paper sheds light on the price behavior of Bitcoin during a period of instability. The results suggest that the construction of portfolios should differ based on the time horizons of the investors. Originality/value The authors compare Bitcoin against a global equity index instead of a specific country index or commodity. They also demonstrate the applicability of DPCCA in finance research.

ECG classification using multifractal detrended moving average cross-correlation analysis

Accurate detection of arrhythmia signal types is of great significance for the early detection of heart disease and its subsequent treatment. The primary purpose of this study is to explore an electrocardiogram (ECG) classification system to improve its performance and achieve excellent computing performance, especially for large sample datasets. We classified ECG signals using the Hurst exponent, which is an ECG feature extracted by multifractal detrended moving average cross-correlation analysis (MF-XDMA). In addition, we used multifractal methods such as multifractal detrended fluctuation analysis (MF-DFA), multifractal detrended cross-correlation analysis (MF-DCCA) and multifractal detrended moving average (MF-DMA) to extract the features of ECG signals, and we used a support vector machine (SVM) to classify the four types of feature data. The experimental results show that MF-XDMA-SVM has the best classification performance for atrial premature beat (APB) and bigeminy signals, which indicates that MF-XDMA-SVM is the most effective for the extraction of ECG signal sequence features among the four multifractal models.

THE EFFICIENCY OF SIN STOCKS: A MULTIFRACTAL ANALYSIS OF DRUG INDICES

This study provides the first evidence of market efficiency of drug indices, especially cannabis and tobacco, which are known in finance as sin markets. The multifractal detrended fluctuation analysis (MFDFA) is employed on the daily data of six cannabis and one tobacco indices in order to measure efficiency by quantifying the intensity of self-similarity. The findings confirm multifractality in all sample series. Interestingly, Dow Jones Tobacco (DJUSTB) Index shows the highest multifractality, demonstrating the lowest efficiency, whereas S&P/TSX Cannabis (SPTXCAN) Index is the most efficient of all the time series under analysis, with the lowest multifractality levels. Only the North American Marijuana (NAMMAR), Cannabis World Index Gross Total Return (CANWLDGR) and DJUSTB show persistent behavior. These findings could be of interest to policymakers and regulators to establish new reforms to improve the efficiency of these markets, as well as for actual and potential investors.

Non-Linear Impact of Chinese Treasury Bond Futures on the Information Content of IRS

This paper investigates the impact of Chinese Treasury bond (CTB) futures on the information content of interest rate swap (IRS) from a multifractality perspective. We first use multifractal detrended fluctuation analysis (MF-DFA) method and show that the swap rate and the CTB yield exhibit strong multifractality. In addition, employing multifractal detrended cross-correlation analysis (MF-DCCA) method, we find that cross-correlations between the swap rate and the CTB yield are multifractally persistent. Moreover, after the reintroduction of Treasury bond futures, the persistence of cross-correlation between the series is weaker. Our results indicate that the information content of IRS decreased after the re-launch of CTB futures.

Multifractal Detrended Fluctuation Analysis of Insole Pressure Sensor Data to Diagnose Vestibular System Disorders

The vestibular system (VS) is a sensory system that has a vital function in human life by serving to maintain balance. In this study, multifractal detrended fluctuation analysis (MFDFA) is applied to insole pressure sensor data collected from subjects in order to extract features to identify diseases related to VS dysfunction. We use the multifractal spectrum width as the feature to distinguish between healthy and diseased people. It is observed that multifractal behavior is more dominant and thus the spectrum is wider for healthy subjects, where we explain the reason as the long-range correlations of the small and large fluctuations of the time series for this group. We directly process the instantaneous pressure values to extract features in contrast to studies in the literature where gait analysis is based on investigation of gait dynamics (stride time, stance time, etc.) requiring long gait cycles. Thus, as the main innovation of this work, we detrend the data to give meaningful information even for a relatively short-duration gait cycle. Extracted feature set was input to fundamental classification algorithms where the Support-Vector-Machine (SVM) performed best with an accuracy of 98.2% for the binary classification as healthy or suffering. This study is a substantial part of a big project where we finally aim to identify the specific VS disease that causes balance disorder and also determine the stage of the disease, if any. Within this scope, the achieved performance gives high motivation to work more deeply on the issue.

Modeling Dynamic Multifractal Efficiency of US Electricity Market

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 detrended fluctuation analysis (MFDFA) is employed to better quantify the intensity of self-similarity. Large daily data from 2001 to 2021 are taken in order to make a more conclusive analysis. The four electricity market returns showed strong multifractal features with PJM West having the highest multifractality (corresponding to lowest efficiency) and Mass Hub having the lowest multifractality (i.e., highest efficiency). Moreover, all series exhibited mean reverting (anti-persistent) behavior in the overall time period. The findings of MFDFA rolling window suggest Palo Verde as the most volatile index, while a significant upward trend in the efficiency of Mass Hub and PJM West is observed after the first quarter of 2014. The novel findings have important implications for policymakers, regulatory authorities, and decision makers to forecast electricity prices better and control efficiency.

A multifractal detrended fluctuation analysis of housing market: a role of financial crises in developed economies

Purpose This study aims to examine the house price fluctuations in G7 countries by using the multifractal detrended fluctuation analysis (MF-DFA) for the years 1970–2019. The study examined the market efficiency between the short-term and long-term in the full sample period, before and after the global financial crisis period. Design/methodology/approach This study uses the MF-DFA to analyze house price fluctuations. Findings The findings confirmed that the housing market series are multifractal. Furthermore, all the markets showed long-term persistence in both the short and long-term. The USA is identified as the most persistent house market in the short run and Japan in the long run. Moreover, in terms of efficiency, Canada is identified as the most efficient house market in the long run and the UK in the short run. Finally, the result of before and after the financial crisis period is consistent with the full sample result. Originality/value The contribution of this study in the literature is fourfold. This is the first study that has examined the house prices efficiency by using the MF-DFA technique given by Kantelhardt et al. (2002). Previously, the house market prices and efficiency has been investigated using generalized Hurst exponent (Liu et al., 2019), Quantile Regression Approach (Chae and Bera, 2019; Tiwari et al., 2019) but no study to the best of the knowledge has been done that has used the MF-DFA technique on the housing market. Second, this is the first study that has focused on the house markets of G7 countries. Third, this study explores the house market efficiency by dividing the market into two periods i.e. before and after the financial crisis. The study strives to investigate if the financial crisis determines the change in the degree of market efficiency or not. Finally, the study gives valuable insights to the investors that will help them in their investment decisions.

A probe into the Multifractal Behaviour of Total Ozone Time Series through Detrended Fluctuation Analysis

The present study reports a multifractal detrended fluctuation analysis of total ozone time series. Considering daily total ozone concentration (TOC) data ranging from 2015 to 2019, we have created a new profile by subtracting the trend. Subsequently we have divided the profile \({X}_{i}\) into non intersecting segments of equal time scale varying from 25 to 30. Fitting a second order polynomial, we have eliminated the local trend from each segment and thereafter we have computed the detrended variance. Finally the multifractal behaviour has been identified and the singularity spectra has helped us in obtaining the generalised Hurst exponent which in this case has come out to be greater than 0.5.