Yıl 2013,
Cilt: 5 Sayı: 1, 44 - 55, 01.06.2013
Öz
We make a comparative study of Multifractal Detrended Fluctuation Analysis (MF-DFA) and the Wavelet Transform Modulus Maxima (WTMM) method to detect multifractal character of natural gas daily returns. We give a brief introduction on above methods and compare their effectiveness. The results from this methodoligies show that behaviour of natural gas daily returns were multifractal. The major sources of multifractality are long-range correlations of small and large fluctuations and Fat-tail distributions of the series
Anahtar Kelimeler
Kaynakça
- B.B. Manderlbrot,The Fractal Geometry ofNature, FreemanWH,New York, 1982.
- W.Kantelhardt, S.A.Zschiegner, E.Koscienlny-Bunde, S. Havlin,Multifractal detrended fluctuation analysis of nonstationary time series,Physica A316 (2002) _114.
- Muzy, J. F., Bacry, E. & Arneodo, A. (1994) The multifractal formalism revisited with wavelets. Int. J. Bifurc. Chaos. 4, 245-302. (1994)
- Struzik. Z. R. (2000) Determining local singularity strengths and their spectra with the wavelet transform. Fractals 8, 163-179
- Andrejs Puckovs, Andrejs Matvejevs, Wavelet Transform Modulus Maxima Approach for World Stock Index Multifractal Analysis.University,Information Technology and Management Science. pp76-86. Espen Ihlen (2012),”Introduction to multifractal detrended fluctuation analysis in
- Matlab”,Frontiers in Physiology K. Matia, Y. Ashkenazy, H.E. Stanley, Multifractal properties of price fluctuations of stock and commodities, Europhysics Letter 61 (2003) 422–428.
- Mallat, S. G. and Hwang, W. L. (1990). Technical Report #549, Computer
- Science Department, New York University, unpublished. Muzy, J. F., Bacry, E. and Arneodo, A. (1991). Wavelets and multifractal formalism for singular signals: Application to turbulence data. Physical Review Letters, 67(25), 3515–3518.
- Yalamova, R. (2003). Wavelet MRA of index patterns around financial market shocks. Ph.D. thesis, Kent State University.
Yıl 2013,
Cilt: 5 Sayı: 1, 44 - 55, 01.06.2013
Öz
Kaynakça
- B.B. Manderlbrot,The Fractal Geometry ofNature, FreemanWH,New York, 1982.
- W.Kantelhardt, S.A.Zschiegner, E.Koscienlny-Bunde, S. Havlin,Multifractal detrended fluctuation analysis of nonstationary time series,Physica A316 (2002) _114.
- Muzy, J. F., Bacry, E. & Arneodo, A. (1994) The multifractal formalism revisited with wavelets. Int. J. Bifurc. Chaos. 4, 245-302. (1994)
- Struzik. Z. R. (2000) Determining local singularity strengths and their spectra with the wavelet transform. Fractals 8, 163-179
- Andrejs Puckovs, Andrejs Matvejevs, Wavelet Transform Modulus Maxima Approach for World Stock Index Multifractal Analysis.University,Information Technology and Management Science. pp76-86. Espen Ihlen (2012),”Introduction to multifractal detrended fluctuation analysis in
- Matlab”,Frontiers in Physiology K. Matia, Y. Ashkenazy, H.E. Stanley, Multifractal properties of price fluctuations of stock and commodities, Europhysics Letter 61 (2003) 422–428.
- Mallat, S. G. and Hwang, W. L. (1990). Technical Report #549, Computer
- Science Department, New York University, unpublished. Muzy, J. F., Bacry, E. and Arneodo, A. (1991). Wavelets and multifractal formalism for singular signals: Application to turbulence data. Physical Review Letters, 67(25), 3515–3518.
- Yalamova, R. (2003). Wavelet MRA of index patterns around financial market shocks. Ph.D. thesis, Kent State University.
Toplam 9 adet kaynakça vardır.
Ayrıntılar
| Diğer ID | JA56SZ47JJ |
|---|---|
| Bölüm | Makaleler |
| Yazarlar | |
| Yayımlanma Tarihi | 1 Haziran 2013 |
| Yayımlandığı Sayı | Yıl 2013 Cilt: 5 Sayı: 1 |