Techniques for multifractal spectrum estimation in financial time series

DOI10.2495/978-1-78466-155-7/009zbMATH Open1411.62298arXiv1610.07028OpenAlexW3122898801MaRDI QIDQ2973751FDOQ2973751

Jan Korbel, Petr Jizba

Publication date: 5 April 2017

Published in: Complex Systems (Search for Journal in Brave)

Abstract: Multifractal analysis is one of the important approaches that enables us to measure the complexity of various data via the scaling properties. We compare the most common techniques used for multifractal exponents estimation from both theoretical and practical point of view. Particularly, we discuss the methods based on estimation of R'enyi entropy, which provide a powerful tool especially in presence of heavy-tailed data. To put some flesh on bare bones, all methods are compared on various real financial datasets, including daily and high-frequency data.

Full work available at URL: https://arxiv.org/abs/1610.07028

zbMATH Keywords

financial time seriesmultifractal spectrum estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15) Fractals (28A80)

Cited In (2)

• EMPIRICAL TESTING OF MULTIFRACTALITY OF FINANCIAL TIME SERIES BASED ON WTMM
• Comparative performance of time spectral methods for solving hyperchaotic finance and cryptocurrency systems

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