Multifractal Behaviour in Natural Gas Prices by using MF-DFA and WTMM Methods

Multifractal Behaviour in Natural Gas Prices by using MF-DFA and WTMM Methods

Cumhur Tas

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Dr. Gazanfer Aonal

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1 Yeditepe University

GJMBR Volume 13 Issue C11

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The objective of our study was to evaluate, in a population of Togolese People Living With HIV(PLWHIV), the agreement between three scores derived from the general population namely the Framingham score, the Systematic Coronary Risk Evaluation (SCORE), the evaluation of the cardiovascular risk (CVR) according to the World Health Organization.

We make a comparative study of Multifractal Detrended Fluctuation Analysis (MF DFA) and the Wavelet Transform Modulus Maxima (WTMM) method to detect multifractal character of natural gas daily returns. We give a brief introduction on above methods and compare their effectiveness. The results from this methodoligies show that behaviour of natural gas daily returns were multifractal. The major sources of multifractality are long-range correlations of small and large fluctuations and Fat-tail distributions of the series.

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References

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W Kantelhardt,S Zschiegner,E Koscienlny-Bunde,S Havlin (2002). Multifractal detrended fluctuation analysis of nonstationary time series.
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Z R Struzik (2000). Determining local singularity strengths and their spectra with the wavelet transform.
Andrejs Puckovs,Andrejs Matvejevs (2012). Wavelet Transform Modulus Maxima Approach for World Stock Index Multifractal Analysis.
Espen Ihlen (2012). Introduction to Multifractal Detrended Fluctuation Analysis in Matlab.
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R Yalamova (2003). Wavelet Analysis.

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

Cumhur Tas. 2013. \u201cMultifractal Behaviour in Natural Gas Prices by using MF-DFA and WTMM Methods\u201d. Global Journal of Management and Business Research - C: Finance GJMBR-C Volume 13 (GJMBR Volume 13 Issue C11): .

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GJMBR Volume 13 Issue C11
Pg. 1- 5

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

Keywords

MF-DFA multifractal Natural Gas WTMM

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Submission ReceivedDecember 16, 2012
RevisedDecember 16, 2012
Peer Review Double Blind
Handling Editor
Accepted January 3, 2013
Published January 15, 2013

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v1.2

Issue date

December 19, 2013

Language

English

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Article Matrices

Total Score: 107

Country: Turkey

Subject: Global Journal of Management and Business Research - C: Finance

Authors: Cumhur Tas, Dr. Gazanfer Aonal (PhD/Dr. count: 1)

View Count (all-time): 122

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Total Views: 4503

Total Downloads: 2428

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