Multifractal nature of stock exchange prices

DOI10.1016/S0010-4655(02)00372-7zbMath1008.91042arXivcond-mat/0108394OpenAlexW3102139163MaRDI QIDQ696667

K. Ivanova, Marcel Ausloos

Publication date: 12 September 2002

Published in: Computer Physics Communications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0108394

zbMATH Keywords

fractalstime series analysis

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (9)

A risk measure of the stock market that is based on multifractality ⋮ A Brief Introduction to DFA-Based Multiscale Analysis ⋮ Modelling stock price movements: multifractality or multifractionality? ⋮ Finite-size effect and the components of multifractality in financial volatility ⋮ Lacunarity and multifractal analysis of the large DLA mass distribution ⋮ FORECASTING SMOOTHED NON-STATIONARY TIME SERIES USING GENETIC ALGORITHMS ⋮ Multifractal theory with its applications in data management ⋮ Self-averaging phenomenon and multiscaling in Hong Kong stock market ⋮ Equity premium prediction: taking into account the role of long, even asymmetric, swings in stock market behavior

Cites Work

• The infinite number of generalized dimensions of fractals and strange attractors
• A refinement of previous hypotheses concerning the local structure of turbulence in a viscous incompressible fluid at high Reynolds number
• Multifractality in time series
• Unnamed Item

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