Techniques for multifractal spectrum estimation in financial time series

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

Authors: 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

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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 (10)

• Multiscale multifractal diffusion entropy analysis of financial time series
• EMPIRICAL TESTING OF MULTIFRACTALITY OF FINANCIAL TIME SERIES BASED ON WTMM
• The high order dispersion analysis based on first-passage-time probability in financial markets
• Comparative performance of time spectral methods for solving hyperchaotic finance and cryptocurrency systems
• Multifractal regime detecting method for financial time series
• Estimation of multifractality based on natural time analysis
• Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations
• Detecting multifractal stochastic processes under heavy-tailed effects
• Measuring multiscaling in financial time-series
• Multifractal classification of financial time series

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