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Multifractal spectra of multi-affine functions

Author

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  • Barabási, Albert-László
  • Szépfalusy, Péter
  • Vicsek, Tamás

Abstract

Self-affine functions F(x) with multiscaling height correlations cq(x) ∼xqHq are described in terms of the standard multifractal formalism with a modified assumption for the partition. The corresponding quantities and expressions are shown to exhibit some characteristic differences from the standard ones. According to our calculations the f(α) type spectra are not uniquely determined by the Hq spectrum, but depend on the particular choice which is made for the dependence of N on x, where N is the number of points over which the average is taken. Our results are expected to be relevant in the analysis of signal type data obtained in experiments on systems with an underlying multiplicative process.

Suggested Citation

  • Barabási, Albert-László & Szépfalusy, Péter & Vicsek, Tamás, 1991. "Multifractal spectra of multi-affine functions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 178(1), pages 17-28.
    • Handle: RePEc:eee:phsmap:v:178:y:1991:i:1:p:17-28
    DOI: 10.1016/0378-4371(91)90072-K
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    Cited by:

    1. Sukpitak, Jessada & Hengpunya, Varagorn, 2016. "The influence of trading volume on market efficiency: The DCCA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 259-265.
    2. Alvarez-Ramirez, Jose & Cisneros, Myriam & Ibarra-Valdez, Carlos & Soriano, Angel, 2002. "Multifractal Hurst analysis of crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 313(3), pages 651-670.
    3. Kristoufek, Ladislav & Vosvrda, Miloslav, 2013. "Measuring capital market efficiency: Global and local correlations structure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(1), pages 184-193.
    4. Wang, Fang & Wang, Lin & Chen, Yuming, 2022. "Multi-affine visible height correlation analysis for revealing rich structures of fractal time series," Chaos, Solitons & Fractals, Elsevier, vol. 157(C).
    5. Mukli, Peter & Nagy, Zoltan & Eke, Andras, 2015. "Multifractal formalism by enforcing the universal behavior of scaling functions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 417(C), pages 150-167.
    6. Xi, Caiping & Zhang, Shunning & Xiong, Gang & Zhao, Huichang, 2016. "A comparative study of two-dimensional multifractal detrended fluctuation analysis and two-dimensional multifractal detrended moving average algorithm to estimate the multifractal spectrum," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 454(C), pages 34-50.
    7. Wang, Fang & Wang, Lin & Chen, Yuming, 2018. "Quantifying the range of cross-correlated fluctuations using a q–L dependent AHXA coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 454-464.
    8. Olivares, Felipe & Zanin, Massimiliano, 2022. "Corrupted bifractal features in finite uncorrelated power-law distributed data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
    9. Kristoufek, Ladislav, 2013. "Mixed-correlated ARFIMA processes for power-law cross-correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6484-6493.
    10. Wang, Fang & Yang, Zhaohui & Wang, Lin, 2016. "Detecting and quantifying cross-correlations by analogous multifractal height cross-correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 954-962.
    11. Alvarez-Ramirez, Jose, 2002. "Characteristic time scales in the American dollar–Mexican peso exchange currency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 309(1), pages 157-170.
    12. Chen, Shu-Peng & He, Ling-Yun, 2010. "Multifractal spectrum analysis of nonlinear dynamical mechanisms in China’s agricultural futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1434-1444.
    13. Ladislav Kristoufek, 2016. "Power-law cross-correlations estimation under heavy tails," Papers 1602.05385, arXiv.org, revised Apr 2016.
    14. Gulich, Damián & Zunino, Luciano, 2012. "The effects of observational correlated noises on multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(16), pages 4100-4110.
    15. Kristoufek, Ladislav, 2015. "Finite sample properties of power-law cross-correlations estimators," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 513-525.
    16. He, Ling-Yun & Chen, Shu-Peng, 2010. "Are developed and emerging agricultural futures markets multifractal? A comparative perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(18), pages 3828-3836.

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