Multifractal nature of stock exchange prices
Condensed Matter
2009-11-07 v2
Abstract
The multifractal structure of the temporal dependence of the Deutsche Aktienindex (DAX) is analyzed. The -th order moments of the structure functions and the singular measures are calculated. The generalized Hurst exponent and the 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.
Cite
@article{arxiv.cond-mat/0108394,
title = {Multifractal nature of stock exchange prices},
author = {M. Ausloos and K. Ivanova},
journal= {arXiv preprint arXiv:cond-mat/0108394},
year = {2009}
}
Comments
6 pages, 3 figures; an invited talk at: Conference on Computational Physics 2001, Sept 5-8, Aachen, Germany