IDEAS home Printed from https://ideas.repec.org/a/wsi/fracta/v29y2021i05ns0218348x21501930.html
   My bibliography  Save this article

Multifractal Analysis With Detrending Weighted Average Algorithm Of Historical Volatility

Author

Listed:
  • JIAN WANG

    (School of Mathematics and Statistics, Nanjing University of Information Science and Technology, Nanjing 210044, P. R. China)

  • WEI SHAO

    (School of Economics, Nanjing University of Finance and Economics, Nanjing 210023, P. R. China)

Abstract

In this paper, we develop the multifractal detrending weighted average algorithm of historical volatility (MF-DHV) for one-dimensional multifractal measure based on the classical multifractal detrended fluctuation analysis (MF-DFA). In the calculation process of getting a local trend for MF-DHV, historical volatility is taken to develop an moving average algorithm, which is different from the simple moving average function in multifractal detrended moving average (MF-DMA). We assess the performance of three methods such as MF-DFA, MF-DMA, and MF-DHV based on the p-model multiplicative cascading constructed time series. The computational results show that all the estimated generalized Hurst exponent H(q), the scaling exponent τ(q), and the singularity spectrum f(α) of MF-DHV are in good agreement with the theoretical values. In addition, we also calculate the standard deviations of Herr and τerr for three methods, and the lowest errors in MF-DHV provides the most accurate estimates. To avoid the accidental selection of parameters, we change the total length of the generated multifractal simulation data and p-value, respectively. It is found that in all the cases, the MF-DHV outperforms the other two methods.

Suggested Citation

  • Jian Wang & Wei Shao, 2021. "Multifractal Analysis With Detrending Weighted Average Algorithm Of Historical Volatility," FRACTALS (fractals), World Scientific Publishing Co. Pte. Ltd., vol. 29(05), pages 1-11, August.
    • Handle: RePEc:wsi:fracta:v:29:y:2021:i:05:n:s0218348x21501930
    DOI: 10.1142/S0218348X21501930
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0218348X21501930
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0218348X21501930?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.

    Citations

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


    Cited by:

    1. Wang, Jian & Huang, Menghao & Wu, Xinpei & Kim, Junseok, 2023. "A local fitting based multifractal detrend fluctuation analysis method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 611(C).
    2. Wang, Jian & Huang, Menghao & Zhang, Yudong & Kim, Junseok, 2022. "Modification of multifractal analysis based on multiplicative cascade image," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
    3. Zhang, Rui & Jia, Cairang & Wang, Jian, 2022. "Text emotion classification system based on multifractal methods," Chaos, Solitons & Fractals, Elsevier, vol. 156(C).

    More about this item

    Keywords

    MF-DHV; MF-DFA; MF-DMA; p-Model;
    All these keywords.

    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:wsi:fracta:v:29:y:2021:i:05:n:s0218348x21501930. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Tai Tone Lim (email available below). General contact details of provider: https://www.worldscientific.com/worldscinet/fractals .

    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.