Related papers: Multifractality in stock indexes: Fact or fiction?
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…
For many externally driven complex systems neither the noisy driving force, nor the internal dynamics are a priori known. Here we focus on systems for which the time dependent activity of a large number of components can be monitored,…
We investigate the presence of residual multifractal background for monofractal signals which appears due to the finite length of the signals and (or) due to the long memory the signals reveal. This phenomenon is investigated numerically…
We apply the concepts of multifractal physics to financial time series in order to characterize the onset of crash for the Standard & Poor's 500 stock index x(t). It is found that within the framework of multifractality, the "analogous"…
The inversion formula for conservative multifractal measures was unveiled mathematically a decade ago, which is however not well tested in real complex systems. In this Letter, we propose to verify the inversion formula using high-frequency…
In this manuscript we present a comprehensive study on the multifractal properties of high-frequency price fluctuations and instantaneous volatility of the equities that compose Dow Jones Industrial Average. The analysis consists about…
Multivariate Distributions are needed to capture the correlation structure of complex systems. In previous works, we developed a Random Matrix Model for such correlated multivariate joint probability density functions that accounts for the…
The statistical properties of the multipliers of the absolute returns are investigated using one-minute high-frequency data of financial time series. The multiplier distribution is found to be independent of the box size $s$ when $s$ is…
We analyse tick-by-tick data representing major cryptocurrencies traded on some different cryptocurrency trading platforms. We focus on such quantities like the inter-transaction times, the number of transactions in time unit, the traded…
The multifractal behavior for tick data of prices is investigated in Korean financial market. Using the rescaled range analysis(R/S analysis), we show the multifractal nature of returns for the won-dollar exchange rate and the KOSPI. We…
Intertrade duration of equities is an important financial measure characterizing the trading activities, which is defined as the waiting time between successive trades of an equity. Using the ultrahigh-frequency data of a liquid Chinese…
Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally heteroscedastic models like ARCH, GARCH, IGARCH and FIGARCH, inter…
In this paper, we consider daily financial data of a collection of different stock market indices, exchange rates, and interest rates, and we analyze their multi-scaling properties by estimating a simple specification of the…
We consider the structure functions S^(q)(T), i.e. the moments of order q of the increments X(t+T)-X(t) of the Foreign Exchange rate X(t) which give clear evidence of scaling (S^(q)(T)~T^z(q)). We demonstrate that the nonlinearity of the…
We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index alpha > 3 and this index tends to increase quickly with…
We investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity f(t) of each stock displays a crossover from weaker to stronger correlations at time scales 60-390 minutes. In both…
There is more and more empirical evidence that multifractality constitutes another and perhaps the most significant financial stylized fact. A realistic model of the financial dynamics should therefore incorporate this effect. The most…
Properties of distributions of the number of trades in different intraday time intervals for five stocks traded in MICEX are studied. The dependence of the mean number of trades on the capital turnover is analyzed. Correlation analysis…
Multifractal time series analysis is a approach that shows the possible complexity of the system. Nowadays, one of the most popular and the best methods for determining multifractal characteristics is Multifractal Detrended Fluctuation…
We study the volatility time series of 1137 most traded stocks in the US stock markets for the two-year period 2001-02 and analyze their return intervals $\tau$, which are time intervals between volatilities above a given threshold $q$. We…