Abstract
We extend the classical roughness exponent (detrended fluctuation analysis) into multivariate signals, aiming at detecting the effectiveness and advantages of the multivariate multifractal detrended fluctuation analysis (MMDFA) based large deviations spectrum. Results show that large deviations spectrum is sensitive to non-concavities and contains more information than the Legendre spectrum. Further, we investigate the large deviations spectrum for stock markets with the closing prices and volumes. Volumes have a tendency of scale invariance. For global markets, we construct 9 univariate series and 3 multivariate time series separately for Asia, Europe and America and quantify the scale invariance and generating mechanism of multifractality for multivariate stock markets through comparison. It is shown that markets of the same region have a more similar evolution and the q ranges for slope in the fit process are different from each other for both univariate and multivariate situations. Besides, European markets have better scaling properties.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Physica A: Statistical Mechanics and its Applications
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
