Financial multifractality and its subtleties: an example of DAX
Statistical Mechanics
2009-11-07 v1 Adaptation and Self-Organizing Systems
Statistical Finance
Abstract
Detailed study of multifractal characteristics of the financial time series of asset values and of its returns is performed using a collection of the high frequency Deutsche Aktienindex data. The tail index (), the Renyi exponents based on the box counting algorithm for the graph () and the generalized Hurst exponents () are computed in parallel for short and daily return times. The results indicate a more complicated nature of the stock market dynamics than just consistent multifractal.
Cite
@article{arxiv.cond-mat/0205482,
title = {Financial multifractality and its subtleties: an example of DAX},
author = {A. Z. Gorski and S. Drozdz and J. Speth},
journal= {arXiv preprint arXiv:cond-mat/0205482},
year = {2009}
}
Comments
LaTeX 2.09 + RevTeX 3.1, 9 EPS figures