multifractal returns in mining industry
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- multifractal returns in mining industry
This paper presents the "multifractal model of asset returns" ("MMAR"), based upon the pioneering research into multifractal measures by Mandelbrot (1972, 1974). The multifractal model incorporates two elements of Mandelbrot's past research that are now well known in finance.
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This article investigates the dynamical complexity and fractal characteristics changes of the Bitcoin/US dollar (BTC/USD) and Euro/US dollar (EUR/USD) returns in the period before and after the outbreak of the COVID-19 pandemic. More specifically, we applied the asymmetric multifractal detrended fluctuation analysis (A-MF-DFA) method …
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This, combined with lower yields and the relatively high risk of mining operations, has resulted in fewer generalist investors targeting the industry. But …
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Abstract. We provide a mathematical overview of Benoit B. Mandelbrot's Multifractal Model of Asset Returns (MMAR) as described in his The (Mis)Behavior of Markets. We assume …
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Key Financial Concepts in the Mining Industry. Revenue: Ore (tons) x Grade (g/t) x Recovery x Payability x Metal Price. Royalties: Properties often have royalties on them (e.g., 2% Net Smelter Return) …
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The multifractal detrended fluctuation analysis technique is employed to analyze the time series of gold consumer price index (CPI) and the market trend of three world's highest gold consuming countries, namely China, India and Turkey for the period: 1993–July 2013. Various multifractal variables, such as the generalized Hurst exponent, …
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One approach is to look at risk and issues not in isolation, but to consider how they manifest themselves as forces shaping the future of the mining industry. …
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Some industrial activities in mines, such as underground coal mining, destress blasting for preventing rockburst, and ground blasting for mining, can cause microseismic occurrence. The microseismic waveform contains abundant information on the hypocenter and propagation path, which is valuable to study the microseismic …
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Applying the Multifractal Detrended Fluctuation Analysis (MFDFA), it is found that Bitcoin return series have distinctly different multifractal properties than of gold. Our evidence shows that all return and volatility series of Bitcoin have a persistent behavior, …
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With the development of carbon market, the complex dynamic relationship between electricity and carbon market has become the focus of energy research area. In this paper, we applied a new developed multifractal detrended cross-correlation analysis method to investigate the cross-correlation and multifractality between electricity and …
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In this article, we investigate the market efficiency of global stock markets using the multifractal detrended fluctuation analysis methodology and analyze the results by dividing them into developed, emerging, and frontier groups. The static analysis results reveal that financially advanced countries, such as Switzerland, the UK, and the US, …
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Multifractal nature in returns makes the price dynamics deviate from the Brownian process, triggering the studies of applying multifractality on uncovering market …
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Chapter 3 The Multifractal Volatility Model: The MMAR 3.1 The Multifractal Model of Asset Returns 3.2 An Extension with Autocorrelated Returns 3.3 Empirical Evidence 3.4 Discussion Chapter 4 The Marko-Switching Multifractal (MSM) in Discrete Time 4.1 MSM Construction in Discrete Time 4.2 Maximum Likelihood Estimation 4.3 …
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The existence of multifractal cross-correlations of asset returns is documented by several studies including stock markets [78,79], forex [66], cryptocurrency [64, 80] commodities [81][82][83] and ...
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Discrimination of various microseismic (MS) events induced by blasting and mining in coal mines is significant for the evaluation and forecasting of rock bursts. In …
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global trends in the mining industry, as represented by the Top 40 mining companies by market capitalisation. Judged by traditional metrics, things are looking good for the world's top miners. In 2018, the world's 40 largest miners consolidated the stellar performance of 2017. As a group, they increased production, boosted cash fl ow, paid ...
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By employing the Multifractal Detrended Cross-Correlation Analysis method, they find that the change in Google Trends (CGT) and the Bitcoin market, i.e., returns and changes of volume, is an overall higher degree of multifractal in the long term and weak multifractal in the short term. Yes: S&P 500: DCCA-MIDAS: Daily: return
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The Mining Association of Canada (MAC) is the national organization of the Canadian mining industry. We represent companies involved in mineral exploration, mining, smelting, refining and semi-fabrication. Our member companies account for most of Canada's output of metals and minerals. MAC's functions include advocacy, stewardship …
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In this study, we test the efficient market hypothesis for a number of sectors in the US stock market during the COVID-19 pandemic to identify its effects on individual sectors. To test this hypothesis, we define the average price for 11 sectors within the S&P 500 and apply multifractal detrended fluctuation analysis to the average return series.
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By employing the Multifractal detrended fluctuation (MFDFA) analysis methods, the multifractal nature is revealed in the high-frequency data of two typical indexes, the Shanghai Stock Exchange Composite 180 Index (SH180) and the Shenzhen Stock Exchange Composite Index (SZCI). It is found that there is a statistically significant …
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Mining-induced earthquake is one of the common risk factors affecting the safety of mining engineering. In order to reveal the information characteristics of mine seismicity and predict the high-energy mine seismicity, based on the microseismic monitoring data of 250105 working face in Huating Coal Mine, the spatial multifractal …
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In this study, we test the efficient market hypothesis for a number of sectors in the US stock market during the COVID-19 pandemic to identify its effects on individual sectors. To test this hypothesis, we define the average price for 11 sectors within the S&P 500 and apply multifractal detrended fluctuation analysis to the average return series. . …
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Contribute to sbm2023/sbm development by creating an account on GitHub.
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Global analysis to estimate multifractal exponents. In the pre-processing phase, each time series correspond to signals composed of short to long-range stationary intervals.
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Mandelbrot first proposed the multifractal characteristics of complex systems in 1974. 57 With the continuous development and promotion of many researchers, the multifractal theory has been applied to many fields such as geoscience and material science and has become an important new method for pore structure characterization. …
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It is worth mentioning that the multifractal parameters are calculated based on the 5-min high-frequency data of the day's trading, so they can cover most of the trading information of the day. Compared with the return rate corresponding to the daily closing price, the risk state defined by the multifractal parameters is more real and reliable.
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In fact, ordinary moving average techniques can be taken as a special case of the multifractal interpolation method. 3.3. Characterization the vertical distribution of geochemical element concentration. Characterization of the vertical distribution of geochemical element concentration plays an important role in economic planning in the …
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To investigate the statistical validity of the asymmetric multifractal degree, we implement Monte Carlo simulations and obtain confidence intervals of Δ h x y (q) calculated from 1000 generated series of returns and realized bipower volatility changes. The daily returns and realized bipower volatility changes are constructed based on the ...
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Wang [23] used the Multifractal detrending moving average algorithm (MF-DMA) to investigate the multifractality of Chinese and the U.S. stock markets. He found that the stock returns in both markets shows obvious multifractal characteristics and the fat tail distribution of the series is the main reason for the multifractal characteristics.
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It has been recently noticed that time series of returns in stock markets are of multifractal (multiscaling) character. In that context, multifractality has been always evidenced by its statistical signature (i.e., the scaling exponents associated to a related variable). However, a direct geometrical framework, much more revealing about the …
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Hence, it was proposed that multifractality can be employed to characterize the state of the market. The concept of multifractal detrended fluctuation analysis was employed for the ranking of ...
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Discrimination of various microseismic (MS) events induced by blasting and mining in coal mines is significant for the evaluation and forecasting of rock bursts. In this paper, multifractal and moment tensor inversion methods were used to investigate the waveform characteristics and focal mechanisms of different MS events in a more …
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ciated generation of multifractal parameters can be a useful approach in the evaluation of heavy metal pollution in soils. 1 Introduction and overview of the study area Heavy metal pollution within soil poses a serious risk for human health and the environment, and thus soil pollution caused by anthropogenic activities (including industry and
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