Multifractal nature of stock exchange prices

DOI10.1016/S0010-4655(02)00372-7MaRDI QIDQ696667zbMATH OpenOpenAlexFDO

Authors K. Ivanova, Marcel R. 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

time series analysisfractals

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Abstract: The multifractal structure of the temporal dependence of the Deutsche Aktienindex (DAX) is analyzed. The $q$-th order moments of the structure functions and the singular measures are calculated. The generalized Hurst exponent $H(q)$ and the $h(gamma(q))$ curve indicate a hierarchy of power law exponents. This approach leads to characterizing the nonstationarity and intermittency pertinent to such financial signals, indicating differences with turbulence data. A list of results on turbulence and financial markets is presented for asserting the analogy.

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Cites work

• scientific article; zbMATH DE number 1368020 (Why is no real title available?)
• A refinement of previous hypotheses concerning the local structure of turbulence in a viscous incompressible fluid at high Reynolds number
• Multifractality in time series
• The infinite number of generalized dimensions of fractals and strange attractors

Cited in

(21)

• scientific article; zbMATH DE number 1839659 (Why is no real title available?)
• FORECASTING SMOOTHED NON-STATIONARY TIME SERIES USING GENETIC ALGORITHMS
• Equity premium prediction: taking into account the role of long, even asymmetric, swings in stock market behavior
• Finite-size effect and the components of multifractality in financial volatility
• Fractal analysis on complex system: a case study on global stock market
• Dynamic structurization and fractality of information and investment flows
• Revisiting the multifractality in stock returns and its modeling implications
• Fractal model for the stock market indices
• Turbulent Behavior of Stock Exchange Indices and Foreign Currency Exchange Rates
• A risk measure of the stock market that is based on multifractality
• Hierarchical structure of stock price fluctuations in financial markets
• Self-averaging phenomenon and multiscaling in Hong Kong stock market
• On multifractality and fractional derivatives
• Multifractality and self-adjustment of the attraction channel of stock market
• Multifractal theory with its applications in data management
• Lacunarity and multifractal analysis of the large DLA mass distribution
• A Brief Introduction to DFA-Based Multiscale Analysis
• Financial multifractality and its subtleties: An example of DAX
• Modelling stock price movements: multifractality or multifractionality?
• Multifractality in time series
• Turbulence in financial markets: the surprising explanatory power of simple cascade models

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