Influence of the maximal fluctuation moment order q on multifractal records normalized by finite-size effects
Institute of Theoretical Physics, University of Wrocław - Pl. M. Borna 9, PL-50-204 Wrocław, Poland
Received: 5 November 2013
Accepted: 28 February 2014
We focus on the importance of q moments range used within the multifractal detrended fluctuation analysis (MFDFA), to calculate the generalized Hurst exponent spread and multifractal properties of signals. Different orders of detrending polynomials are also discussed. In particular, we analyze quantitatively the corrections to the spread of the generalized Hurst exponent profile . They allow to extend the previously found formulas describing the level of artificial multiscaling in finite signals for large q to an arbitrary narrower range of q moments used in MFDFA technique in distinct applications. Examples of the implementation of proposed corrections to real multifractal financial data are provided at the end.
PACS: 05.45.Tp – Time series analysis / 89.75.Da – Systems obeying scaling laws / 89.65.Gh – Economics; econophysics, financial markets, business and management
© EPLA, 2014