文献类型：期刊文献

英文题名：Direct determination approach for the multifractal detrending moving average analysis

作者：Xu, Hai-Chuan[1,2];Gu, Gao-Feng[1,2];Zhou, Wei-Xing[1,2,3]

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

年份：2017

卷号：96

期号：5

外文期刊名：PHYSICAL REVIEW E

收录：;EI(收录号：20174604401514);WOS:【SCI-EXPANDED(收录号:WOS:000414335500003)】；

基金：We acknowledge financial support from the National Natural Science Foundation of China (Grants No. 71501072, No. 71671066, No. 71532009, and No. 11375064) and the Fundamental Research Funds for the Central Universities (Grant No. 222201718006).

语种：英文

外文关键词：Fractals - Financial markets

摘要：In the canonical framework, we propose an alternative approach for the multifractal analysis based on the detrending moving average method (MF-DMA). We define a canonical measure such that the multifractal mass exponent tau(q) is related to the partition function and the multifractal spectrum f(alpha) can be directly determined. The performances of the direct determination approach and the traditional approach of the MF-DMA are compared based on three synthetic multifractal and monofractal measures generated from the one-dimensional p-model, the two-dimensional p-model, and the fractional Brownian motions. We find that both approaches have comparable performances to unveil the fractal and multifractal nature. In other words, without loss of accuracy, the multifractal spectrum f (alpha) can be directly determined using the new approach with less computation cost. We also apply the new MF-DMA approach to the volatility time series of stock prices and confirm the presence of multifractality.