Related papers: Multifractality in stock indexes: Fact or fiction?
Recent evidence suggests that physiological signals under healthy conditions may have a fractal temporal structure. We investigate the possibility that time series generated by certain physiological control systems may be members of a…
The association between log-price increments of exchange-traded equities, as measured by their spot correlation estimated from high-frequency data, exhibits a pronounced upward-sloping and almost piecewise linear relationship at the…
The methodology presented provides a quantitative way to characterize investor behavior and price dynamics within a particular asset class and time period. The methodology is applied to a data set consisting of over 250,000 data points of…
Following the thermodynamic formulation of multifractal measure that was shown to be capable of detecting large fluctuations at an early stage, here we propose a new index which permits us to distinguish events like financial crisis in real…
We find that multifractal scaling is a robust property of a large class of continuous stochastic processes, constructed as exponentials of long-memory processes. The long memory is characterized by a power law kernel with tail exponent…
Permutation approach is suggested as a method to investigate financial time series in micro scales. The method is used to see how high frequency trading in recent years has affected the micro patterns which may be seen in financial time…
The analysis of the linearization effect in multifractal analysis, and hence of the estimation of moments for multifractal processes, is revisited borrowing concepts from the statistical physics of disordered systems, notably from the…
We present a systematic study of various statistical characteristics of high-frequency returns from the foreign exchange market. This study is based on six exchange rates forming two triangles: EUR-GBP-USD and GBP-CHF-JPY. It is shown that…
In this paper we briefly review the recently inrtroduced Multifractal Random Walk (MRW) that is able to reproduce most of recent empirical findings concerning financial time-series : no correlation between price variations, long-range…
A method for extracting the Levy stability index $\mu$ from the multi-fractal spectrum $f(\alpha)$ in high energy multiparticle production is proposed. This index is an important parameter, characterizing the non-linear behaviour of…
For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…
We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this…
In this paper, we determine the almost sure multifractal spectrum of a class of random functions constructed as sums of pulses with random dilations and translations. In addition, the continuity modulii of these functions is investigated.
This study conducts a comprehensive analysis of time series segmentation on the Japanese stock prices listed on the first section of the Tokyo Stock Exchange during the period from 4 January 2000 to 30 January 2012. A recursive segmentation…
It is commonly believed that the correlations between stock returns increase in high volatility periods. We investigate how much of these correlations can be explained within a simple non-Gaussian one-factor description with time…
We investigate the strength and the direction of information transfer in the U.S. stock market between the composite stock price index of stock market and prices of individual stocks using the transfer entropy. Through the directionality of…
A thin layer of liquid in a horizontal cell is subjected to a periodic vertical force with two control parameters: acceleration and frequency. The influence of the rheological behavior of the fluid was considered over the empirically…
We study the volatility of the MIB30-stock-index high-frequency data from November 28, 1994 through September 15, 1995. Our aim is to empirically characterize the volatility random walk in the framework of continuous-time finance. To this…
We study multifractal properties of wave functions for a one-parameter family of quantum maps displaying the whole range of spectral statistics intermediate between integrable and chaotic statistics. We perform extensive numerical…
A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is investigated on the Chinese stock market using mean-variance analysis, fluctuation analysis and their generalizations to…