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Performance of multifractal detrended fluctuation analysis on short time series

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  • Juan Luis Lopez
  • Jesus Guillermo Contreras

Abstract

The performance of the multifractal detrended analysis on short time series is evaluated for synthetic samples of several mono- and multifractal models. The reconstruction of the generalized Hurst exponents is used to determine the range of applicability of the method and the precision of its results as a function of the decreasing length of the series. As an application the series of the daily exchange rate between the U.S. dollar and the euro is studied.

Suggested Citation

  • Juan Luis Lopez & Jesus Guillermo Contreras, 2013. "Performance of multifractal detrended fluctuation analysis on short time series," Papers 1311.2278, arXiv.org.
  • Handle: RePEc:arx:papers:1311.2278
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    File URL: http://arxiv.org/pdf/1311.2278
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    1. Boginski, Vladimir & Butenko, Sergiy & Pardalos, Panos M., 2005. "Statistical analysis of financial networks," Computational Statistics & Data Analysis, Elsevier, vol. 48(2), pages 431-443, February.
    2. A. Vizgunov & B. Goldengorin & V. Kalyagin & A. Koldanov & P. Koldanov & P. Pardalos, 2014. "Network approach for the Russian stock market," Computational Management Science, Springer, vol. 11(1), pages 45-55, January.
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    Cited by:

    1. Gulich, Damián & Zunino, Luciano, 2014. "A criterion for the determination of optimal scaling ranges in DFA and MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 397(C), pages 17-30.
    2. Telesca, Luciano & Toth, Laszlo, 2016. "Multifractal detrended fluctuation analysis of Pannonian earthquake magnitude series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 448(C), pages 21-29.
    3. Hongli Niu & Jun Wang, 2014. "Phase and multifractality analyses of random price time series by finite-range interacting biased voter system," Computational Statistics, Springer, vol. 29(5), pages 1045-1063, October.
    4. Telesca, Luciano & Lovallo, Michele & Kanevski, Mikhail, 2016. "Power spectrum and multifractal detrended fluctuation analysis of high-frequency wind measurements in mountainous regions," Applied Energy, Elsevier, pages 1052-1061.
    5. repec:eee:phsmap:v:490:y:2018:i:c:p:994-1003 is not listed on IDEAS
    6. repec:eee:phsmap:v:490:y:2018:i:c:p:1355-1367 is not listed on IDEAS

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