A surrogate approach to estimate the intrinsic multifractality in financial returns using adaptive network-based fuzzy inference system (ANFIS)

Abstract

The multifractal behaviors in financial markets results from temporal correlations as well as broad distribution. To evaluate the intrinsic multifractality caused by temporal correlations, surrogate approach is employed under the rank order remapping technique and sign randomization. In contrast to raw multifractality, it is found that intrinsic multifractality is more stable across many years. In this work, we utilize ANFIS model for estimating the intrinsic multifractality in financial returns. Furthermore, the intrinsic multifractality of serial major instruments are highly correlated, which can be served as an index of global market.