Joint multifractality in the cross-correlations between grains & oilseeds indices and external uncertainties

ArXiv ID: 2410.02798 “View on arXiv”

Authors: Unknown

Abstract

This study investigates the relationships between agricultural spot markets and external uncertainties via the multifractal detrending moving-average cross-correlation analysis (MF-X-DMA). The dataset contains the Grains & Oilseeds Index (GOI) and its five sub-indices of wheat, maize, soyabeans, rice, and barley. Moreover, we use three uncertainty proxies, namely, economic policy uncertainty (EPU), geopolitical risk (GPR), and volatility Index (VIX). We observe the presence of multifractal cross-correlations between agricultural markets and uncertainties. Further, statistical tests show that maize has intrinsic joint multifractality with all the uncertainty proxies, exhibiting a high degree of sensitivity. Additionally, intrinsic multifractality among GOI-GPR, wheat-GPR and soyabeans-VIX is illustrated. However, other series have apparent multifractal cross-correlations with high possibilities. Moreover, our analysis suggests that among the three kinds of external uncertainties, geopolitical risk has a relatively stronger association with grain prices.

Keywords: Multifractality, Cross-correlation, Geopolitical Risk, Economic Policy Uncertainty, Market Integration, Commodities (Agricultural)

Complexity vs Empirical Score

• Math Complexity: 7.5/10
• Empirical Rigor: 8.0/10
• Quadrant: Holy Grail
• Why: The paper employs advanced multifractal detrending moving-average cross-correlation analysis (MF-X-DMA) with statistical testing for intrinsic joint multifractality, indicating high mathematical sophistication, while using a large dataset (6065 daily points) covering major global events to robustly investigate cross-correlations, making it backtest-ready and data-heavy.

  flowchart TD
    A["Research Goal:<br>Multifractality Analysis of<br>Agricultural Markets vs. Uncertainties"] --> B["Data Collection & Inputs"]
    B --> C["Methodology:<br>Multifractal Detrending<br>Moving-Average Cross-correlation<br>MF-X-DMA"]
    C --> D["Computational Process:<br>Joint Multifractality Analysis"]
    D --> E{"Key Findings & Outcomes"}
    
    B --> B1["Grains & Oilseeds Index (GOI)<br>Sub-indices: Wheat, Maize, Soybeans, Rice, Barley"]
    B --> B2["Uncertainty Proxies:<br>Economic Policy Uncertainty (EPU)<br>Geopolitical Risk (GPR)<br>Volatility Index (VIX)"]
    
    E --> F1["Maize exhibits intrinsic joint<br>multifractality with all uncertainties<br>(High sensitivity)"]
    E --> F2["GOI-GPR, Wheat-GPR, and<br>Soybeans-VIX show intrinsic<br>multifractality"]
    E --> F3["Geopolitical Risk (GPR) has<br>strongest association with<br>grain prices among uncertainties"]
    E --> F4["Other series show apparent<br>multifractal cross-correlations<br>(High probability)"]