文献类型：期刊文献

英文题名：TESTING FOR INTRINSIC MULTIFRACTALITY IN THE GLOBAL GRAIN SPOT MARKET INDICES: A MULTIFRACTAL DETRENDED FLUCTUATION ANALYSIS

作者：Wang, L., I[1,2,3];Gao, Xing-lu[1];Zhou, Wei-xing[1,2,4]

机构：[1]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]East China Univ Sci & Technol, Int Elite Engn Sch, Shanghai 200237, Peoples R China;[4]East China Univ Sci & Technol, Sch Math, Shanghai 200237, Peoples R China

年份：2023

卷号：31

期号：07

外文期刊名：FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY

收录：;EI(收录号：20233614672963);WOS:【SCI-EXPANDED(收录号:WOS:001053089200001)】；

基金：This work was partly supported by the National Natural Science Foundation of China (72171083), the Shanghai Outstanding Academic Leaders Plan, and the Fundamental Research Funds for the Central Universities.

语种：英文

外文关键词：Econophysics; Multifractal Analysis; Detrended Fluctuation Analysis; Grain Spot Market; Statistical Test; IAAFT Surrogates

摘要：Grains account for more than 50% of the calories consumed by people worldwide, and military conflicts, pandemics, climate change, and soaring grain prices all have vital impacts on food security. However, the complex price behavior of the global grain spot markets has not been well understood. A recent study performed multifractal moving average analysis (MF-DMA) of the Grains & Oilseeds Index (GOI) and its sub-indices of wheat, maize, soybeans, rice, and barley and it was found that only the maize and barley sub-indices exhibit an intrinsic multifractal nature with convincing evidence. Here, we utilize multifractal fluctuation analysis (MF-DFA) to investigate the same problem. Extensive statistical tests confirm the presence of intrinsic multifractality in the maize and barley sub-indices and the absence of intrinsic multifractality in the wheat and rice sub-indices. Different from the MF-DMA results, the MF-DFA results suggest that there is also intrinsic multifractality in the GOI and soybeans sub-indices. Our comparative analysis does not provide conclusive information about the GOI and soybeans and highlights the high complexity of the global grain spot markets.