Factorization of joint multifractality

D.C. Lin

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 14, 3461-3470

Abstract: Complex systems often exhibit multifractal characteristics in various forms. The study of the joint fluctuation of multifractal objects, referred to as joint multifractality, is presented in this work. We use the joint partition function approach [C. Meneveau, et al., Phys. Rev. A. 41 (1990) 894] to show that joint multifractality admits a factorization into a common factor related to the notion of relative multifractality studied by Riedi and Scheuring [R.H. Riedi, I. Scheuring, Fractals 5 (1997) 153] and a remainder term related to the individual multifractality. We demonstrated our ideas using binomial measures and applied to the fluctuation of financial data.

Keywords: Factorization; Multifractal correlation; Joint partition function (search for similar items in EconPapers)
Date: 2008
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:14:p:3461-3470

DOI: 10.1016/j.physa.2008.01.119

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