文献类型：期刊文献

英文题名：Modified detrended fluctuation analysis based on empirical mode decomposition for the characterization of anti-persistent processes

作者：Qian, Xi-Yuan[1,2];Gu, Gao-Feng[2,3];Zhou, Wei-Xing[1,2,3]

机构：[1]E China Univ Sci & Technol, Sch Sci, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China

年份：2011

卷号：390

期号：23-24

起止页码：4388

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20113714327632);WOS:【SCI-EXPANDED(收录号:WOS:000295602300036)】；

基金：We are grateful to professor Zhaohua Wu for providing the Matlab codes for EMD. We acknowledge financial support from the National Natural Science Foundation of China under grant 11075054 and the Fundamental Research Funds for the Central Universities.

语种：英文

外文关键词：Econophysics; Detrended fluctuation analysis; Empirical mode decomposition; Correlations; Multifractality; Stock markets

摘要：Detrended fluctuation analysis (DFA) is a simple but very efficient method for investigating the power-law long-term correlations of non-stationary time series, in which a detrending step is necessary to obtain the local fluctuations at different timescales. We propose to determine the local trends through empirical mode decomposition (EMD) and perform the detrending operation by removing the EMD-based local trends, which gives an EMD-based DFA method. Similarly, we also propose a modified multifractal DFA algorithm, called an EMD-based MFDFA. The performance of the EMD-based DFA and MFDFA methods is assessed with extensive numerical experiments based on fractional Brownian motion and multiplicative cascading process. We find that the EMD-based DFA method performs better than the classic DFA method in the determination of the Hurst index when the time series is strongly anticorrelated and the EMD-based MFDFA method outperforms the traditional MFDFA method when the moment order q of the detrended fluctuations is positive. We apply the EMD-based MFDFA to the 1 min data of Shanghai Stock Exchange Composite index, and the presence of multifractality is confirmed. We also analyze the daily Austrian electricity prices and confirm its anti-persistence. (C) 2011 Elsevier B.V. All rights reserved.