\texttt{MFDFA}: efficient multifractal detrended fluctuation analysis in Python

DOI10.1016/J.CPC.2021.108254MaRDI QIDQ6102017zbMATH OpenOpenAlexWikidataFDO

Authors Leonardo Rydin Gorjão, Galib Hassan, J. Kurths, Dirk Witthaut

Publication date 20 June 2023

Published in Computer Physics Communications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2104.10470

zbMATH Keywords

Hurst coefficientmultifractal detrended fluctuation analysismultifractal spectrumsingularity strengthtime series analysis

Mathematics Subject Classification ID

Statistics (62-XX) Economic time series analysis (91B84)

Abstract: Multifractal detrended fluctuation analysis (MFDFA) has become a central method to characterise the variability and uncertainty in empiric time series. Extracting the fluctuations on different temporal scales allows quantifying the strength and correlations in the underlying stochastic properties, their scaling behaviour, as well as the level of fractality. Several extensions to the fundamental method have been developed over the years, vastly enhancing the applicability of MFDFA, e.g. empirical mode decomposition for the study of long-range correlations and persistence. In this article we introduce an efficient, easy-to-use python library for MFDFA, incorporating the most common extensions and harnessing the most of multi-threaded processing for very fast calculations.

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Cited in

(4)

• CONVERGENCE INVESTIGATION OF MULTIFRACTAL ANALYSIS BASED ON Lp-NORM CONSTRAINT
• A novel agent model of heterogeneous risk based on temporal interaction network for stock price simulation
• A multifractal detrended fluctuation analysis approach using generalized functions
• Differentiable neural network layer for estimating Hurst and anomalous diffusion exponents

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