Exploring the multifractality in the precious metal market

Name: Exploring the multifractality in the precious metal market
Author: Doğangün, Itır, Oral, E., Akkartal, E., Türegün, Nida

İsim	Exploring the multifractality in the precious metal market
Yazar	Doğangün, Itır, Oral, E., Akkartal, E., Türegün, Nida
Basım Tarihi:	2023-06
Basım Yeri	- World Scientific
Konu	DCCA, MF-DFA, MF-X-DMA, Multifractality, Wavelet coherency
Tür	Süreli Yayın
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	0219-4775
Kayıt Numarası	18291dd1-33fd-4fea-ace3-f06ddb34da55
Lokasyon	Hotel Management
Tarih	2023-06
Örnek Metin	This study proposes a novel approach to investigating the multifractality of time series using the multifractal cross-correlation detrended moving average analysis (MF-X-DMA). The study demonstrates the behavioral differences of MF-X-DMA in coherent and non-coherent time periods. Due to the lack of a mechanism to capture the dynamical cross-correlation in time series, correlated time series with multifractal structure present a barrier for analysis. The study shows that when the wavelet coherence method is applied to time series, co-movement between time series can be easily captured in certain time intervals, providing an efficient way to find time intervals to apply MF-X-DMA. The study applies the wavelet coherence method to the daily spot prices of gold and platinum from January 1987. It shows that the wavelet coherence method is an excellent engine to extract designated time series in certain frequency and time intervals, eliminating the need for windowing or shuffling methods. Additionally, the study observes a long-term power law cross-correlation using detrended cross-correlation analysis coefficients of inversed series for both low-correlated and high-correlated series. Finally, the findings indicate that MF-X-DMA leads to superior results compared to MF-DFA when provided with highly correlated data.
DOI	10.1142/S0219477523400096
Cilt	22

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Exploring the multifractality in the precious metal market

Yazar Doğangün, Itır, Oral, E., Akkartal, E., Türegün, Nida

Basım Tarihi 2023-06

Basım Yeri - World Scientific

Konu DCCA, MF-DFA, MF-X-DMA, Multifractality, Wavelet coherency

Tür Süreli Yayın

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 0219-4775

Kayıt Numarası 18291dd1-33fd-4fea-ace3-f06ddb34da55

Lokasyon Hotel Management

Tarih 2023-06

Örnek Metin This study proposes a novel approach to investigating the multifractality of time series using the multifractal cross-correlation detrended moving average analysis (MF-X-DMA). The study demonstrates the behavioral differences of MF-X-DMA in coherent and non-coherent time periods. Due to the lack of a mechanism to capture the dynamical cross-correlation in time series, correlated time series with multifractal structure present a barrier for analysis. The study shows that when the wavelet coherence method is applied to time series, co-movement between time series can be easily captured in certain time intervals, providing an efficient way to find time intervals to apply MF-X-DMA. The study applies the wavelet coherence method to the daily spot prices of gold and platinum from January 1987. It shows that the wavelet coherence method is an excellent engine to extract designated time series in certain frequency and time intervals, eliminating the need for windowing or shuffling methods. Additionally, the study observes a long-term power law cross-correlation using detrended cross-correlation analysis coefficients of inversed series for both low-correlated and high-correlated series. Finally, the findings indicate that MF-X-DMA leads to superior results compared to MF-DFA when provided with highly correlated data.

DOI 10.1142/S0219477523400096

Cilt 22