IDEAS home Printed from https://ideas.repec.org/a/hin/complx/7015243.html
   My bibliography  Save this article

Cascade-Driven Series with Narrower Multifractal Spectra Than Their Surrogates: Standard Deviation of Multipliers Changes Interactions across Scales

Author

Listed:
  • Jun Taek Lee
  • Damian G. Kelty-Stephen

Abstract

Multifractal (or singularity) spectra widths allow diagnosing cascade structure through comparing original series’ widths to surrogate series’ widths . However, interpretations of have been ambiguous. Stochastic multipliers generate cascades with by diversifying cross-scale interactions using white-noise multipliers. Multifractal detrended fluctuation analysis (MF-DFA) and Chhabra and Jensen’s method provided two estimates of for 200 simulated series at each value incrementing by 0.05. Increasing σ draws away from and towards for both methods but more for MF-DFA. indicates cascades with cross-scale interactions more diverse than in cascades with .

Suggested Citation

  • Jun Taek Lee & Damian G. Kelty-Stephen, 2017. "Cascade-Driven Series with Narrower Multifractal Spectra Than Their Surrogates: Standard Deviation of Multipliers Changes Interactions across Scales," Complexity, Hindawi, vol. 2017, pages 1-8, January.
  • Handle: RePEc:hin:complx:7015243
    DOI: 10.1155/2017/7015243
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/8503/2017/7015243.pdf
    Download Restriction: no

    File URL: http://downloads.hindawi.com/journals/8503/2017/7015243.xml
    Download Restriction: no

    File URL: https://libkey.io/10.1155/2017/7015243?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
    ---><---

    References listed on IDEAS

    as
    1. Zhou, Wei-Xing, 2012. "Finite-size effect and the components of multifractality in financial volatility," Chaos, Solitons & Fractals, Elsevier, vol. 45(2), pages 147-155.
    2. 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.
    3. Stephen, Damian G. & Dixon, James A., 2011. "Strong anticipation: Multifractal cascade dynamics modulate scaling in synchronization behaviors," Chaos, Solitons & Fractals, Elsevier, vol. 44(1), pages 160-168.
    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. Kelty-Stephen, Damian G., 2017. "Threading a multifractal social psychology through within-organism coordination to within-group interactions: A tale of coordination in three acts," Chaos, Solitons & Fractals, Elsevier, vol. 104(C), pages 363-370.
    2. Wu, Liang & Chen, Lei & Ding, Yiming & Zhao, Tongzhou, 2018. "Testing for the source of multifractality in water level records," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 824-839.
    3. Damian G Kelty-Stephen, 2018. "Multifractal evidence of nonlinear interactions stabilizing posture for phasmids in windy conditions: A reanalysis of insect postural-sway data," PLOS ONE, Public Library of Science, vol. 13(8), pages 1-21, August.

    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. 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).
    2. F. Cavalli & A. Naimzada & N. Pecora & M. Pireddu, 2021. "Market sentiment and heterogeneous agents in an evolutive financial model," Journal of Evolutionary Economics, Springer, vol. 31(4), pages 1189-1219, September.
    3. Chen, Wang & Wei, Yu & Lang, Qiaoqi & Lin, Yu & Liu, Maojuan, 2014. "Financial market volatility and contagion effect: A copula–multifractal volatility approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 398(C), pages 289-300.
    4. Kelty-Stephen, Damian G., 2017. "Threading a multifractal social psychology through within-organism coordination to within-group interactions: A tale of coordination in three acts," Chaos, Solitons & Fractals, Elsevier, vol. 104(C), pages 363-370.
    5. Liu, Zhicao & Ye, Yong & Ma, Feng & Liu, Jing, 2017. "Can economic policy uncertainty help to forecast the volatility: A multifractal perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 181-188.
    6. Lee, Hojin & Chang, Woojin, 2015. "Multifractal regime detecting method for financial time series," Chaos, Solitons & Fractals, Elsevier, vol. 70(C), pages 117-129.
    7. Buonocore, R.J. & Aste, T. & Di Matteo, T., 2016. "Measuring multiscaling in financial time-series," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 38-47.
    8. Chen, Feier & Tian, Kang & Ding, Xiaoxu & Miao, Yuqi & Lu, Chunxia, 2016. "Finite-size effect and the components of multifractality in transport economics volatility based on multifractal detrending moving average method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 1058-1066.
    9. Rodriguez-Romo, Suemi & Sosa-Herrera, Antonio, 2013. "Lacunarity and multifractal analysis of the large DLA mass distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(16), pages 3316-3328.
    10. Gui, Jun & Zheng, Zeyu & Fu, Dianzheng & Fu, Yang & Liu, Zhi, 2021. "Long-term correlations and multifractality of toll-free calls in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 567(C).
    11. Stephen, Damian G. & Hsu, Wen-Hao & Young, Diana & Saltzman, Elliot L. & Holt, Kenneth G. & Newman, Dava J. & Weinberg, Marc & Wood, Robert J. & Nagpal, Radhika & Goldfield, Eugene C., 2012. "Multifractal fluctuations in joint angles during infant spontaneous kicking reveal multiplicativity-driven coordination," Chaos, Solitons & Fractals, Elsevier, vol. 45(9), pages 1201-1219.
    12. Xiong, Gang & Zhang, Shuning & Yang, Xiaoniu, 2012. "The fractal energy measurement and the singularity energy spectrum analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6347-6361.
    13. Ruan, Qingsong & Zhang, Manqian & Lv, Dayong & Yang, Haiquan, 2018. "SAD and stock returns revisited: Nonlinear analysis based on MF-DCCA and Granger test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 1009-1022.
    14. Yang, Yan-Hong & Xie, Wen-Jie & Li, Ming-Xia & Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2017. "Statistical properties of user activity fluctuations in virtual worlds," Chaos, Solitons & Fractals, Elsevier, vol. 105(C), pages 271-278.
    15. Fernández-Martínez, M. & Sánchez-Granero, M.A. & Casado Belmonte, M.P. & Trinidad Segovia, J.E., 2020. "A note on power-law cross-correlated processes," Chaos, Solitons & Fractals, Elsevier, vol. 138(C).
    16. Yao, Can-Zhong & Lin, Ji-Nan & Zheng, Xu-Zhou, 2017. "Coupling detrended fluctuation analysis for multiple warehouse-out behavioral sequences," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 75-90.
    17. Cao, Guangxi & Xu, Longbing & Cao, Jie, 2012. "Multifractal detrended cross-correlations between the Chinese exchange market and stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4855-4866.
    18. Caraiani, Petre & Haven, Emmanuel, 2015. "Evidence of multifractality from CEE exchange rates against Euro," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 395-407.
    19. Liu, Chenggong & Shang, Pengjian & Feng, Guochen, 2017. "The high order dispersion analysis based on first-passage-time probability in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 1-9.
    20. Liu, Zhichao & Ma, Feng & Long, Yujia, 2015. "High and low or close to close prices? Evidence from the multifractal volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 427(C), pages 50-61.

    More about this item

    Statistics

    Access and download statistics

    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:hin:complx:7015243. 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: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    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.