Joint multifractal analysis based on wavelet leaders

doi:10.1007/s11467-017-0674-x

Frontiers of Physics

2017, Vol. 12

Issue (6): 128907 https://doi.org/10.1007/s11467-017-0674-x

本期目录

Joint multifractal analysis based on wavelet leaders

Zhi-Qiang Jiang^1,^2,³(

),Yan-Hong Yang^1,^2,³,Gang-Jin Wang^3,⁴(

),Wei-Xing Zhou^1,^2,⁵(

)

¹. School of Business, East China University of Science and Technology, Shanghai 200237, China
². Research Center for Econophysics, East China University of Science and Technology, Shanghai 200237, China
³. Department of Physics and Center for Polymer Studies, Boston University, Boston, MA 02215, USA
⁴. Business School and Center of Finance and Investment Management, Hunan University, Changsha 410082, China
⁵. Department of Mathematics, East China University of Science and Technology, Shanghai 200237, China

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Abstract：

Mutually interacting components form complex systems and these components usually have longrange cross-correlated outputs. Using wavelet leaders, we propose a method for characterizing the joint multifractal nature of these long-range cross correlations; we call this method joint multifractal analysis based on wavelet leaders (MF-X-WL). We test the validity of the MF-X-WL method by performing extensive numerical experiments on dual binomial measures with multifractal cross correlations and bivariate fractional Brownian motions (bFBMs) with monofractal cross correlations. Both experiments indicate that MF-X-WL is capable of detecting cross correlations in synthetic data with acceptable estimating errors. We also apply the MF-X-WL method to pairs of series from financial markets (returns and volatilities) and online worlds (online numbers of different genders and different societies) and determine intriguing joint multifractal behavior.

Key words： joint multifractal analysis wavelet leader binomial measure bivariate fractional Brownian motion econophysics online world

收稿日期: 2016-10-23 出版日期: 2017-03-17

Corresponding Author(s): Zhi-Qiang Jiang,Gang-Jin Wang,Wei-Xing Zhou

引用本文:

. [J]. Frontiers of Physics, 2017, 12(6): 128907.
Zhi-Qiang Jiang,Yan-Hong Yang,Gang-Jin Wang,Wei-Xing Zhou. Joint multifractal analysis based on wavelet leaders. Front. Phys. , 2017, 12(6): 128907.

链接本文:

https://academic.hep.com.cn/fop/CN/10.1007/s11467-017-0674-x
https://academic.hep.com.cn/fop/CN/Y2017/V12/I6/128907

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