Fractal and Fractional, Journal Year: 2025, Volume and Issue: 9(5), P. 292 - 292
Published: May 1, 2025
This study investigates the multifractal behavior of four leading semiconductor stocks—Intel (INTC), Advanced Micro Devices (AMD), Nvidia (NVDA), and Broadcom (AVGO)—in relation to key financial assets, including Dow Jones Industrial Average (DJI), Euro–U.S. Dollar exchange rate (EUR), gold (XAU), crude oil (WTI), Bitcoin (BTC), using Multifractal Asymmetric Detrended Cross-Correlation Analysis (MF-ADCCA). The analysis is based on daily price return time series from January 2015 2025. Results reveal consistent evidence multifractality across all asset pairs, with generalized Hurst exponent exhibiting significant variability, indicative complex nonlinear stock dynamics. Among stocks, NVDA AVGO exhibit highest levels cross-correlation, particularly DJI, WTI, BTC, while AMD consistently shows lowest, suggesting comparatively more stable behavior. Notably, cross-correlation exponents BTC are highest, reaching approximately 0.54 for AMD. Conversely, pairs EUR display long-term negative correlations, around 0.46 stocks. spectrum highlights that broader pronounced characteristics, largely driven by higher fluctuation intensities. reveals stocks paired DJI show greater persistence during market downturns, whereas those XAU demonstrate stronger upward trends. sources surrogate confirms influence fat-tailed distributions temporal linear correlations in most exception which less Overall, findings underscore utility asymmetric capturing intricate dynamics approach provides valuable insights investors portfolio managers accounting multifaceted asset-dependent nature under varying conditions.
Language: Английский