Multifractal nature of stock exchange prices

DOI10.1016/S0010-4655(02)00372-7zbMATH Open1008.91042arXivcond-mat/0108394OpenAlexW3102139163MaRDI QIDQ696667FDOQ696667

Authors: K. Ivanova, Marcel R. Ausloos 

Publication date: 12 September 2002

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

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.

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

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zbMATH Keywords

time series analysisfractals

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

• The infinite number of generalized dimensions of fractals and strange attractors
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• Multifractality in time series

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• 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
• A Brief Introduction to DFA-Based Multiscale Analysis
• Multifractal theory with its applications in data management
• Lacunarity and multifractal analysis of the large DLA mass distribution
• 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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