IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v391y2012i16p4100-4110.html
   My bibliography  Save this article

The effects of observational correlated noises on multifractal detrended fluctuation analysis

Author

Listed:
  • Gulich, Damián
  • Zunino, Luciano

Abstract

We have numerically investigated the effects that observational correlated noises have on the generalized Hurst exponents, h(q), estimated by using the multifractal generalization of detrended fluctuation analysis (MF-DFA). More precisely, artificially generated stochastic binomial multifractals with increased amount of colored noises were analyzed via MF-DFA. It has been recently shown that for moderate additions of white noise, the generalized Hurst exponents are significantly underestimated for q<2 and they are nearly unchanged for q≥2 [J. Ludescher, M.I. Bogachev, J.W. Kantelhardt, A.Y. Schumann, A. Bunde, On spurious and corrupted multifractality: the effects of additive noise, short- term memory and periodic trends, Physica A 390 (2011) 2480–2490]. In this paper, we have found that h(q) with q≥2 are also affected when correlated noises are considered. This is due to the fact that the spurious correlations influence the scaling behaviors associated to large fluctuations. The results obtained are significant for practical situations, where noises with different correlations are inherently present.

Suggested Citation

  • Gulich, Damián & Zunino, Luciano, 2012. "The effects of observational correlated noises on multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(16), pages 4100-4110.
    • Handle: RePEc:eee:phsmap:v:391:y:2012:i:16:p:4100-4110
    DOI: 10.1016/j.physa.2012.04.001
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437112002944
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
    File URL: https://libkey.io/10.1016/j.physa.2012.04.001?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Serrano, E. & Figliola, A., 2009. "Wavelet Leaders: A new method to estimate the multifractal singularity spectra," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(14), pages 2793-2805.
    2. Telesca, Luciano & Lapenna, Vincenzo & Macchiato, Maria, 2005. "Multifractal fluctuations in seismic interspike series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 354(C), pages 629-640.
    3. Qian, Xi-Yuan & Gu, Gao-Feng & Zhou, Wei-Xing, 2011. "Modified detrended fluctuation analysis based on empirical mode decomposition for the characterization of anti-persistent processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4388-4395.
    4. Bogachev, Mikhail I. & Bunde, Armin, 2011. "On the predictability of extreme events in records with linear and nonlinear long-range memory: Efficiency and noise robustness," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(12), pages 2240-2250.
    5. Kantelhardt, Jan W. & Zschiegner, Stephan A. & Koscielny-Bunde, Eva & Havlin, Shlomo & Bunde, Armin & Stanley, H.Eugene, 2002. "Multifractal detrended fluctuation analysis of nonstationary time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 87-114.
    6. Barabási, Albert-László & Szépfalusy, Péter & Vicsek, Tamás, 1991. "Multifractal spectra of multi-affine functions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 178(1), pages 17-28.
    7. Figueirêdo, P.H. & Nogueira, E. & Moret, M.A. & Coutinho, Sérgio, 2010. "Multifractal analysis of polyalanines time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(10), pages 2090-2095.
    8. Wei-Xing Zhou, 2008. "Multifractal detrended cross-correlation analysis for two nonstationary signals," Papers 0803.2773, arXiv.org.
    9. Zunino, Luciano & Figliola, Alejandra & Tabak, Benjamin M. & Pérez, Darío G. & Garavaglia, Mario & Rosso, Osvaldo A., 2009. "Multifractal structure in Latin-American market indices," Chaos, Solitons & Fractals, Elsevier, vol. 41(5), pages 2331-2340.
    10. Schumann, Aicko Y. & Kantelhardt, Jan W., 2011. "Multifractal moving average analysis and test of multifractal model with tuned correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(14), pages 2637-2654.
    11. Ludescher, Josef & Bogachev, Mikhail I. & Kantelhardt, Jan W. & Schumann, Aicko Y. & Bunde, Armin, 2011. "On spurious and corrupted multifractality: The effects of additive noise, short-term memory and periodic trends," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(13), pages 2480-2490.
    12. Zunino, L. & Tabak, B.M. & Figliola, A. & Pérez, D.G. & Garavaglia, M. & Rosso, O.A., 2008. "A multifractal approach for stock market inefficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(26), pages 6558-6566.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gulich, Damián & Zunino, Luciano, 2014. "A criterion for the determination of optimal scaling ranges in DFA and MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 397(C), pages 17-30.
    2. Stan, Cristina & Cristescu, Cristina Maria & Alexandroaei, D. & Cristescu, C.P., 2014. "The effect of Gaussian white noise on the fractality of fluctuations in the plasma of a symmetrical discharge," Chaos, Solitons & Fractals, Elsevier, vol. 61(C), pages 46-55.
    3. Wang, Fang & Han, Guosheng, 2023. "Coupling correlation adaptive detrended analysis for multiple nonstationary series," Chaos, Solitons & Fractals, Elsevier, vol. 177(C).
    4. Olivares, Felipe & Sun, Xiaoqian & Wandelt, Sebastian & Zanin, Massimiliano, 2023. "Measuring landing independence and interactions using statistical physics," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 170(C).
    5. Olivares, Felipe & Zanin, Massimiliano, 2022. "Corrupted bifractal features in finite uncorrelated power-law distributed data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
    6. Sarker, Alivia & Mali, Provash, 2021. "Detrended multifractal characterization of Indian rainfall records," Chaos, Solitons & Fractals, Elsevier, vol. 151(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Olivares, Felipe & Zanin, Massimiliano, 2022. "Corrupted bifractal features in finite uncorrelated power-law distributed data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
    2. Gulich, Damián & Zunino, Luciano, 2014. "A criterion for the determination of optimal scaling ranges in DFA and MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 397(C), pages 17-30.
    3. Mukli, Peter & Nagy, Zoltan & Eke, Andras, 2015. "Multifractal formalism by enforcing the universal behavior of scaling functions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 417(C), pages 150-167.
    4. Fernandes, Leonardo H.S. & Silva, José W.L. & de Araujo, Fernando H.A. & Ferreira, Paulo & Aslam, Faheem & Tabak, Benjamin Miranda, 2022. "Interplay multifractal dynamics among metal commodities and US-EPU," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 606(C).
    5. Chen, Shu-Peng & He, Ling-Yun, 2010. "Multifractal spectrum analysis of nonlinear dynamical mechanisms in China’s agricultural futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1434-1444.
    6. Stosic, Dusan & Stosic, Darko & de Mattos Neto, Paulo S.G. & Stosic, Tatijana, 2019. "Multifractal characterization of Brazilian market sectors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 956-964.
    7. Xiong, Gang & Zhang, Shuning & Liu, Qiang, 2012. "The time-singularity multifractal spectrum distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4727-4739.
    8. Zhou, Weijie & Dang, Yaoguo & Gu, Rongbao, 2013. "Efficiency and multifractality analysis of CSI 300 based on multifractal detrending moving average algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1429-1438.
    9. Hasan, Rashid & Mohammed Salim, M., 2017. "Power law cross-correlations between price change and volume change of Indian stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 620-631.
    10. Dashtian, Hassan & Jafari, G. Reza & Sahimi, Muhammad & Masihi, Mohsen, 2011. "Scaling, multifractality, and long-range correlations in well log data of large-scale porous media," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2096-2111.
    11. Choi, Sun-Yong, 2021. "Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
    12. Ruan, Qingsong & Zhou, Mi & Yin, Linsen & Lv, Dayong, 2021. "Hedging effectiveness of Chinese Treasury bond futures: New evidence based on nonlinear analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
    13. Ardalankia, Jamshid & Osoolian, Mohammad & Haven, Emmanuel & Jafari, G. Reza, 2020. "Scaling features of price–volume cross correlation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 549(C).
    14. Zhuang, Xiaoyang & Wei, Yu & Zhang, Bangzheng, 2014. "Multifractal detrended cross-correlation analysis of carbon and crude oil markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 399(C), pages 113-125.
    15. Ruan, Qingsong & Bao, Junjie & Zhang, Manqian & Fan, Limin, 2019. "The effects of exchange rate regime reform on RMB markets: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 522(C), pages 122-134.
    16. Wang, Dong-Hua & Yu, Xiao-Wen & Suo, Yuan-Yuan, 2012. "Statistical properties of the yuan exchange rate index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3503-3512.
    17. Zhuang, Xiaoyang & Wei, Yu & Ma, Feng, 2015. "Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 430(C), pages 101-113.
    18. Jovanovic, Tijana & Mejía, Alfonso & Gall, Heather & Gironás, Jorge, 2016. "Effect of urbanization on the long-term persistence of streamflow records," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 208-221.
    19. Manimaran, P. & Narayana, A.C., 2018. "Multifractal detrended cross-correlation analysis on air pollutants of University of Hyderabad Campus, India," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 228-235.
    20. Ruan, Qingsong & Meng, Lu & Lv, Dayong, 2021. "Effect of introducing Bitcoin futures on the underlying Bitcoin market efficiency: A multifractal analysis," Chaos, Solitons & Fractals, Elsevier, vol. 153(P1).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:391:y:2012:i:16:p:4100-4110. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.