Asymmetric multifractal spectrum distribution based on detrending moving average cross-correlation analysis

Na Shen and Jiayi Chen

Physica A: Statistical Mechanics and its Applications, 2023, vol. 615, issue C

Abstract: This paper proposes the asymmetric multifractal spectrum distribution based on detrending moving average cross-correlation analysis (A-DMCA-MFSD) algorithm to calculate time-varying multifractal spectrum under different market trends. Numerical results of this algorithm applied to analyzing artificially generated data show superior performance in terms of accuracy and robustness. The algorithm is further applied to investigate auto-correlations of Bitcoin and Gold return series. Asymmetric behaviors of Bitcoin and Gold are obviously observed in small-scale fluctuations. In addition, Bitcoin series shows greater singularity strength than Gold in most of the time. Cross-correlations between Bitcoin and Gold are also studied utilizing A-DMCA-MFSD. Greater cross-correlation is observed during upward trends of Bitcoin (downward trends of Gold) than during downward trends (upward trends, respectively).

Keywords: Multifractal spectrum distribution; Asymmetric multifractal analysis; Bitcoin; Gold (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:615:y:2023:i:c:s0378437123001140

DOI: 10.1016/j.physa.2023.128559

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