Multifractality and Laplace spectrum of horizontal visibility graphs constructed from fractional Brownian motions

TL;DR

This study explores the multifractal characteristics and Laplace spectrum of horizontal visibility graphs derived from fractional Brownian motions, revealing linear and polynomial relationships with the Hurst index.

Contribution

It introduces a detailed analysis of the multifractality and spectral properties of HVGs from fractional Brownian motions, highlighting new linear and polynomial dependencies on the Hurst index.

Findings

Multifractality exists in HVGs from fractional Brownian motions.

Average fractal dimension follows a linear relation with Hurst index.

Eigenvalues and energy of Laplacian spectra relate polynomially to H.

Abstract

Many studies have shown that additional information can be gained on time series by investigating their associated complex networks. In this work, we investigate the multifractal property and Laplace spectrum of the horizontal visibility graphs (HVGs) constructed from fractional Brownian motions. We aim to identify via simulation and curve fitting the form of these properties in terms of the Hurst index $H$. First, we use the sandbox algorithm to study the multifractality of these HVGs. It is found that multifractality exists in these HVGs. We find that the average fractal dimension $\langle D(0)\rangle$ of HVGs approximately satisfies the prominent linear formula $\langle D(0)\rangle = 2 - H$; while the average information dimension $\langle D(1)\rangle$ and average correlation dimension $\langle D(2)\rangle$ are all approximately bi-linear functions of $H$ when $H\ge 0.15$. Then, we calculate the spectrum and energy for the general Laplacian operator and normalized Laplacian operator of these HVGs. We find that, for the general Laplacian operator, the average logarithm of second-smallest eigenvalue $\langle \ln (u_2) \rangle$, the average logarithm of third-smallest eigenvalue $\langle \ln (u_3) \rangle$, and the average logarithm of maximum eigenvalue $\langle \ln (u_n) \rangle$ of these HVGs are approximately linear functions of $H$; while the average Laplacian energy $\langle E_{nL} \rangle$ is approximately a quadratic polynomial function of $H$. For the normalized Laplacian operator, $\langle \ln (u_2) \rangle$ and $\langle \ln (u_3) \rangle$ of these HVGs approximately satisfy linear functions of $H$; while $\langle \ln (u_n) \rangle$ and $\langle E_{nL} \rangle$ are approximately a 4th and cubic polynomial function of $H$ respectively.