Improving MF-DFA model with applications in precious metals market

TL;DR

This paper introduces an improved MF-DFA method to analyze price fluctuations in the precious metals market, revealing differences in multifractality and risk levels between gold and silver markets.

Contribution

An enhanced Bi-OSW-MF-DFA method is proposed, demonstrating improved efficiency over traditional MF-DFA for analyzing precious metals market data.

Findings

Silver market exhibits higher risk than gold.

Multifractality is influenced by two key elements.

Improved method provides better analysis efficiency.

Abstract

With the aggravation of the global economic crisis and inflation, the precious metals with safe-haven function have become more popular. An improved MF-DFA method is proposed to analyze price fluctuations of the precious metals market. Based on the widely used multifractal detrended fluctuation analysis method (MF-DFA), we compare these two methods and find that the Bi-OSW-MF-DFA method possesses better efficiency. This article analyzes the degree of multifractality between spot gold market and spot silver market as well as their risks. From the numerical results and figures, it is found that two elements constitute the contributions in the formation of multifractality in time series and the risk of the spot silver market is higher than that of the spot gold market. This attempt could lead to a better understanding of complicated precious metals market.