Multifractal Behaviour in Natural Gas Prices by using MF-DF A and WT MM Methods

Cumhur TAŞ; Dr. Gazanfer Ünal

Authors

Cumhur TAŞ
Dr. Gazanfer Ünal

Keywords:

natural gas, multifractal, MF-DFA, WTMM

Abstract

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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How to Cite

Multifractal Behaviour in Natural Gas Prices by using MF-DF A and WT MM Methods. (2013). Global Journal of Management and Business Research, 13(43), 1-5. https://journalofbusiness.org/index.php/GJMBR/article/view/

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Author Biography

Cumhur TAŞ

Cumhur TAŞ is a researcher affiliated with Yeditepe University in Turkey. With 73 publications and over 1,390 citations, he has an h-index of 23. His work includes the study of multifractal behavior in natural gas prices using MF-DFA and WTMM methods. He is also professionally associated with Koç Finansman, as reflected in his institutional email.

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