Multifractal descriptors ergodically characterize non-ergodic multiplicative cascade processes
Author
Abstract
Suggested Citation
DOI: 10.1016/j.physa.2023.128651
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Gorka Muñoz-Gil & Giovanni Volpe & Miguel Angel Garcia-March & Erez Aghion & Aykut Argun & Chang Beom Hong & Tom Bland & Stefano Bo & J. Alberto Conejero & Nicolás Firbas & Òscar Garibo i Orts & Aless, 2021. "Objective comparison of methods to decode anomalous diffusion," Nature Communications, Nature, vol. 12(1), pages 1-16, December.
- Amir AghaKouchak & Laurie S. Huning & Felicia Chiang & Mojtaba Sadegh & Farshid Vahedifard & Omid Mazdiyasni & Hamed Moftakhari & Iman Mallakpour, 2018. "How do natural hazards cascade to cause disasters?," Nature, Nature, vol. 561(7724), pages 458-460, September.
- Miguel Garcia-Castro & Lea Kremer & Christopher D. Reinkemeier & Christian Unkelbach & Carsten Strohmann & Slava Ziegler & Claude Ostermann & Kamal Kumar, 2015. "De novo branching cascades for structural and functional diversity in small molecules," Nature Communications, Nature, vol. 6(1), pages 1-13, May.
- Kelty-Stephen, Damian G. & Furmanek, Mariusz P. & Mangalam, Madhur, 2021. "Multifractality distinguishes reactive from proactive cascades in postural control," Chaos, Solitons & Fractals, Elsevier, vol. 142(C).
- Kelty-Stephen, Damian G. & Mangalam, Madhur, 2022. "Fractal and multifractal descriptors restore ergodicity broken by non-Gaussianity in time series," Chaos, Solitons & Fractals, Elsevier, vol. 163(C).
- 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.
- Mangalam, Madhur & Carver, Nicole S. & Kelty-Stephen, Damian G., 2020. "Global broadcasting of local fractal fluctuations in a bodywide distributed system supports perception via effortful touch," Chaos, Solitons & Fractals, Elsevier, vol. 135(C).
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Kelty-Stephen, Damian G. & Mangalam, Madhur, 2024. "Additivity suppresses multifractal nonlinearity due to multiplicative cascade dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 637(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.- Kelty-Stephen, Damian G. & Furmanek, Mariusz P. & Mangalam, Madhur, 2021. "Multifractality distinguishes reactive from proactive cascades in postural control," Chaos, Solitons & Fractals, Elsevier, vol. 142(C).
- Kelty-Stephen, Damian G. & Mangalam, Madhur, 2024. "Additivity suppresses multifractal nonlinearity due to multiplicative cascade dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 637(C).
- Kelty-Stephen, Damian G. & Mangalam, Madhur, 2022. "Fractal and multifractal descriptors restore ergodicity broken by non-Gaussianity in time series," Chaos, Solitons & Fractals, Elsevier, vol. 163(C).
- Lavička, Hynek & Kracík, Jiří, 2020. "Fluctuation analysis of electric power loads in Europe: Correlation multifractality vs. Distribution function multifractality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
- Kakinaka, Shinji & Umeno, Ken, 2021. "Exploring asymmetric multifractal cross-correlations of price–volatility and asymmetric volatility dynamics in cryptocurrency markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
- Longfeng Zhao & Wei Li & Andrea Fenu & Boris Podobnik & Yougui Wang & H. Eugene Stanley, 2017. "The q-dependent detrended cross-correlation analysis of stock market," Papers 1705.01406, arXiv.org, revised Jun 2017.
- Vitanov, Nikolay K. & Sakai, Kenshi & Dimitrova, Zlatinka I., 2008. "SSA, PCA, TDPSC, ACFA: Useful combination of methods for analysis of short and nonstationary time series," Chaos, Solitons & Fractals, Elsevier, vol. 37(1), pages 187-202.
- El Alaoui, Marwane & Benbachir, Saâd, 2013. "Multifractal detrended cross-correlation analysis in the MENA area," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5985-5993.
- Méndez-Gordillo, Alma Rosa & Cadenas, Erasmo, 2021. "Wind speed forecasting by the extraction of the multifractal patterns of time series through the multiplicative cascade technique," Chaos, Solitons & Fractals, Elsevier, vol. 143(C).
- Nagarajan, Radhakrishnan & Kavasseri, Rajesh G., 2005. "Minimizing the effect of periodic and quasi-periodic trends in detrended fluctuation analysis," Chaos, Solitons & Fractals, Elsevier, vol. 26(3), pages 777-784.
- Diniz-Maganini, Natalia & Diniz, Eduardo H. & Rasheed, Abdul A., 2021. "Bitcoin’s price efficiency and safe haven properties during the COVID-19 pandemic: A comparison," Research in International Business and Finance, Elsevier, vol. 58(C).
- Mei, Dexiang & Liu, Jing & Ma, Feng & Chen, Wang, 2017. "Forecasting stock market volatility: Do realized skewness and kurtosis help?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 481(C), pages 153-159.
- Zhang, Jiao & Li, Youping & Liu, Chunqiong & Wu, Bo & Shi, Kai, 2022. "A study of cross-correlations between PM2.5 and O3 based on Copula and Multifractal methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
- Alvarez-Ramirez, Jose & Alvarez, Jesus & Rodriguez, Eduardo, 2008. "Short-term predictability of crude oil markets: A detrended fluctuation analysis approach," Energy Economics, Elsevier, vol. 30(5), pages 2645-2656, September.
- Yun-Jung Lee & Neung-Woo Kim & Ki-Hong Choi & Seong-Min Yoon, 2020. "Analysis of the Informational Efficiency of the EU Carbon Emission Trading Market: Asymmetric MF-DFA Approach," Energies, MDPI, vol. 13(9), pages 1-14, May.
- Li, Xing, 2021. "On the multifractal analysis of air quality index time series before and during COVID-19 partial lockdown: A case study of Shanghai, China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
- Stosic, Tatijana & Telesca, Luciano & Stosic, Borko, 2021. "Multiparametric statistical and dynamical analysis of angular high-frequency wind speed time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
- Wang, Guochao & Zheng, Shenzhou & Wang, Jun, 2019. "Complex and composite entropy fluctuation behaviors of statistical physics interacting financial model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 97-113.
- Juraj Čurpek, 2019. "Time Evolution of Hurst Exponent: Czech Wholesale Electricity Market Study," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2019(3), pages 25-44.
- Zheng, Zeyu & Xiao, Rui & Shi, Haibo & Li, Guihong & Zhou, Xiaofeng, 2015. "Statistical regularities of Carbon emission trading market: Evidence from European Union allowances," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 426(C), pages 9-15.
More about this item
Keywords
Causality; Far-from-equilibrium; Heterogeneity; Multiplicativity; Non-equilibrium; Stationarity;All these keywords.
Statistics
Access and download statisticsCorrections
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:617:y:2023:i:c:s0378437123002066. 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.