Testing for intrinsic multifractality in the global grain spot market indices: A multifractal detrended fluctuation analysis

ArXiv ID: 2306.10496 “View on arXiv”

Authors: Unknown

Abstract

Grains account for more than 50% of the calories consumed by people worldwide, and military conflicts, pandemics, climate change, and soaring grain prices all have vital impacts on food security. However, the complex price behavior of the global grain spot markets has not been well understood. A recent study performed multifractal moving average analysis (MF-DMA) of the Grains & Oilseeds Index (GOI) and its sub-indices of wheat, maize, soyabeans, rice, and barley and found that only the maize and barley sub-indices exhibit an intrinsic multifractal nature with convincing evidence. Here, we utilize multifractal fluctuation analysis (MF-DFA) to investigate the same problem. Extensive statistical tests confirm the presence of intrinsic multifractality in the maize and barley sub-indices and the absence of intrinsic multifractality in the wheat and rice sub-indices. Different from the MF-DMA results, the MF-DFA results suggest that there is also intrinsic multifractality in the GOI and soyabeans sub-indices. Our comparative analysis does not provide conclusive information about the GOI and soyabeans and highlights the high complexity of the global grain spot markets.

Keywords: multifractal fluctuation analysis (MF-DFA), multifractal moving average analysis (MF-DMA), grain markets, Grains & Oilseeds Index (GOI), intrinsic multifractality, Commodities / Agriculture

Complexity vs Empirical Score

• Math Complexity: 9.0/10
• Empirical Rigor: 4.0/10
• Quadrant: Lab Rats
• Why: The paper employs advanced econophysics techniques like multifractal detrended fluctuation analysis (MF-DFA) with IAAFT surrogates, involving heavy mathematical derivations and statistical testing. However, it is a purely theoretical analysis of index behavior without trading signals, backtests, or implementation details, placing it firmly in the ‘Lab Rats’ quadrant.

  flowchart TD
    A["Research Goal: Assess intrinsic multifractality<br/>in global grain spot markets"] --> B["Methodology: Multifractal Detrended<br/>Fluctuation Analysis MF-DFA"]
    B --> C["Input Data: 5 indices<br/>GOI, Wheat, Maize, Soybeans, Rice, Barley"]
    C --> D["Computational Process:<br/>Fractal Scaling Analysis"]
    D --> E{"Intrinsic Multifractality?<br/>Statistical Significance Test"}
    E -- Yes --> F["Key Findings"]
    E -- No --> G["Key Findings"]
    F["Confirmed Intrinsic Multifractality:<br/>• GOI<br/>• Maize<br/>• Soybeans<br/>• Barley"] --> H["Outcome: MF-DFA confirms higher complexity<br/>in grain markets than MF-DMA analysis"]
    G["No Intrinsic Multifractality:<br/>• Wheat<br/>• Rice"] --> H
    H["Outcome: MF-DFA confirms higher complexity<br/>in grain markets than MF-DMA analysis"]