IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v603y2022ics0378437122005374.html
   My bibliography  Save this article

Modification of multifractal analysis based on multiplicative cascade image

Author

Listed:
  • Wang, Jian
  • Huang, Menghao
  • Zhang, Yudong
  • Kim, Junseok

Abstract

In this paper, we propose a two-dimensional multifractal detrended fluctuation norm (2D MF-DFN) method which is based on multifractal detrended fluctuation analysis (MF-DFA) with the norm constraints. The proposed 2D MF-DFN method is defined to adjust the internal structure of 2D MF-DFA by Lp-norm constraint on the basis of 2D MF-DFA, thus improving the performance. In addition, the multiplicative cascade method is used to construct the image, the 2D MF-DFN algorithm is used to analyze and test the constructed image, and the calculated multifractal features are compared with the results of 2D MF-DFA. The superiority of the proposed model is measured by the multifractal properties such as the generalized Hurst exponents H and mass exponent spectrums τ. We calculate the numerical solutions of the 2D MF-DFA and 2D MF-DFN of the image and compare them with the multifractal analytical solutions of the image. The results show that the numerical results of 2D MF-DFA can be optimized by controlling the norm constraint value so that the calculation results are more consistent with the real multifractal feature solution of the image. In addition, in the optimal norm selection test, we found that, when the numerical curve of 2D MF-DFA is below the analytical solution, the norm value needs to be increased so that the numerical curve can move up close to the analytical solution and vice versa. Through the test, we can obtain the appropriate norm value and construct the corresponding 2D MF-DFN model. The test results show that the performance of the proposed model is significantly better than that of 2D MF-DFA. Furthermore, we compare the performance of the two approaches when transforming the construction parameters of multiplicative cascade images. The numerical results show that 2D MF-DFN is more accurate. In addition, we apply the proposed method to the classification of medical images and the high classification accuracy demonstrates the robustness of the proposed method.

Suggested Citation

  • 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).
  • Handle: RePEc:eee:phsmap:v:603:y:2022:i:c:s0378437122005374
    DOI: 10.1016/j.physa.2022.127824
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437122005374
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

    File URL: https://libkey.io/10.1016/j.physa.2022.127824?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.

    References listed on IDEAS

    as
    1. Rafal Rak & Stanislaw Drozdz & Jaroslaw Kwapien & Pawel Oswiecimka, 2015. "Detrended cross-correlations between returns, volatility, trading activity, and volume traded for the stock market companies," Papers 1510.04910, arXiv.org, revised Nov 2015.
    2. Pawe{l} O'swic{e}cimka & Stanis{l}aw Dro.zd.z & Marcin Forczek & Stanis{l}aw Jadach & Jaros{l}aw Kwapie'n, 2013. "Detrended Cross-Correlation Analysis Consistently Extended to Multifractality," Papers 1308.6148, arXiv.org, revised Feb 2014.
    3. Cao, Guangxi & Zhou, Ling, 2019. "Asymmetric risk transmission effect of cross-listing stocks between mainland and Hong Kong stock markets based on MF-DCCA method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 526(C).
    4. Cheng, Qing & Liu, Xinyuan & Zhu, Xiaowu, 2019. "Cryptocurrency momentum effect: DFA and MF-DFA analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 526(C).
    5. 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.
    6. Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Ludovico Minati & Pawe{l} O'swik{e}cimka & Marek Stanuszek, 2020. "Multiscale characteristics of the emerging global cryptocurrency market," Papers 2010.15403, arXiv.org, revised Mar 2021.
    7. Wang, Jian & Shao, Wei & Kim, Junseok, 2020. "Analysis of the impact of COVID-19 on the correlations between crude oil and agricultural futures," Chaos, Solitons & Fractals, Elsevier, vol. 136(C).
    8. 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.
    9. Stanislaw Drozdz & Jaroslaw Kwapien & Pawel Oswiecimka & Rafal Rak, 2010. "The foreign exchange market: return distributions, multifractality, anomalous multifractality and Epps effect," Papers 1011.2385, arXiv.org.
    10. Jaroslaw Kwapien & Pawel Oswiecimka & Stanislaw Drozdz, 2015. "Detrended fluctuation analysis made flexible to detect range of cross-correlated fluctuations," Papers 1506.08692, arXiv.org, revised Nov 2015.
    11. Cao, Guangxi & Cao, Jie & Xu, Longbing, 2013. "Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 797-807.
    12. Lahmiri, Salim, 2017. "Multifractal analysis of Moroccan family business stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 183-191.
    13. Gao-Feng Gu & Wei-Xing Zhou, 2010. "Detrending moving average algorithm for multifractals," Papers 1005.0877, arXiv.org, revised Jun 2010.
    Full references (including those not matched with items on IDEAS)

    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. Wang, Jian & Shao, Wei & Ma, Chenmin & Chen, Wenbing & Kim, Junseok, 2021. "Co-movements between Shanghai Composite Index and some fund sectors in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 573(C).
    2. Stanis{l}aw Dro.zd.z & Ludovico Minati & Pawe{l} O'swik{e}cimka & Marek Stanuszek & Marcin Wk{a}torek, 2019. "Signatures of crypto-currency market decoupling from the Forex," Papers 1906.07834, arXiv.org, revised Jul 2019.
    3. Stanisław Drożdż & Ludovico Minati & Paweł Oświȩcimka & Marek Stanuszek & Marcin Wa̧torek, 2019. "Signatures of the Crypto-Currency Market Decoupling from the Forex," Future Internet, MDPI, vol. 11(7), pages 1-18, July.
    4. Shen, Na & Chen, Jiayi, 2023. "Asymmetric multifractal spectrum distribution based on detrending moving average cross-correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 615(C).
    5. Yao, Can-Zhong & Mo, Yi-Na & Zhang, Ze-Kun, 2021. "A study of the efficiency of the Chinese clean energy stock market and its correlation with the crude oil market based on an asymmetric multifractal scaling behavior analysis," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    6. Wang, Jian & Jiang, Wenjing & Wu, Xinpei & Yang, Mengdie & Shao, Wei, 2023. "Role of vaccine in fighting the variants of COVID-19," Chaos, Solitons & Fractals, Elsevier, vol. 168(C).
    7. 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.
    8. 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.
    9. Liu, Junlin & Chen, Feier, 2018. "Asymmetric volatility varies in different dry bulk freight rate markets under structure breaks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 316-327.
    10. Cao, Guangxi & Han, Yan & Li, Qingchen & Xu, Wei, 2017. "Asymmetric MF-DCCA method based on risk conduction and its application in the Chinese and foreign stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 119-130.
    11. Lu, Xinsheng & Sun, Xinxin & Ge, Jintian, 2017. "Dynamic relationship between Japanese Yen exchange rates and market anxiety: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 474(C), pages 144-161.
    12. Ruan, Qingsong & Zhou, Mi & Yin, Linsen & Lv, Dayong, 2021. "Hedging effectiveness of Chinese Treasury bond futures: New evidence based on nonlinear analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
    13. Lin, Min & Wang, Gang-Jin & Xie, Chi & Stanley, H. Eugene, 2018. "Cross-correlations and influence in world gold markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 504-512.
    14. Ghazani, Majid Mirzaee & Khosravi, Reza, 2020. "Multifractal detrended cross-correlation analysis on benchmark cryptocurrencies and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
    15. Ruan, Qingsong & Bao, Junjie & Zhang, Manqian & Fan, Limin, 2019. "The effects of exchange rate regime reform on RMB markets: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 522(C), pages 122-134.
    16. Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Marcin Wk{a}torek, 2023. "What is mature and what is still emerging in the cryptocurrency market?," Papers 2305.05751, arXiv.org.
    17. Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Ludovico Minati & Pawe{l} O'swik{e}cimka & Marek Stanuszek, 2020. "Multiscale characteristics of the emerging global cryptocurrency market," Papers 2010.15403, arXiv.org, revised Mar 2021.
    18. Li, Tingyi & Xue, Leyang & Chen, Yu & Chen, Feier & Miao, Yuqi & Shao, Xinzeng & Zhang, Chenyi, 2018. "Insights from multifractality analysis of tanker freight market volatility with common external factor of crude oil price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 374-384.
    19. Jaros{l}aw Kwapie'n & Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z, 2021. "Cryptocurrency Market Consolidation in 2020--2021," Papers 2112.06552, arXiv.org.
    20. Sun, Xinxin & Lu, Xinsheng & Yue, Gongzheng & Li, Jianfeng, 2017. "Cross-correlations between the US monetary policy, US dollar index and crude oil market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 326-344.

    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:eee:phsmap:v:603:y:2022:i:c:s0378437122005374. 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: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    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.