Related papers: Multifractality in stock indexes: Fact or fiction?
We find a nonlinear dependence between an indicator of the degree of multiscaling of log-price time series of a stock and the average correlation of the stock with respect to the other stocks traded in the same market. This result is a…
The search for more realistic modeling of financial time series reveals several stylized facts of real markets. In this work we focus on the multifractal properties found in price and index signals. Although the usual Minority Game (MG)…
The creativity and emergence of biological and psychological behavior are nonlinear. However, that does not necessarily mean only that the measurements of the behaviors are curvilinear. Furthermore, the linear model might fail to reduce…
Fractals and multifractals and their associated scaling laws provide a quantification of the complexity of a variety of scale invariant complex systems. Here, we focus on lattice multifractals which exhibit complex exponents associated with…
Far too often are multiparticle final states studied and models tested on merely single-particle spectra and their integrals, the average multiplicities: A multiparticle final state is a non-linear, complex system and the essential…
The imbalance of buying and selling functions profoundly in the formation of market trends, however, a fine-granularity investigation of the imbalance is still missing. This paper investigates a unique transaction dataset that enables us to…
In this paper we discuss the problem of the estimation of extreme event occurrence probability for data drawn from some multifractal process. We also study the heavy (power-law) tail behavior of probability density function associated with…
The investigations of financial markets from a complex network perspective have unveiled many phenomenological properties, in which the majority of these studies map the financial markets into one complex network. In this work, we…
We present evidence, that if a large enough set of high resolution stock market data is analyzed, certain analogies with physics -- such as scaling and universality -- fail to capture the full complexity of such data. Despite earlier…
Multifractal analysis has become a powerful signal processing tool that characterizes signals or images via the fluctuations of their pointwise regularity, quantified theoretically by the so-called multifractal spectrum. The practical…
From the stock markets of six countries with high GDP, we study the stock indices, S&P 500 (NYSE, USA), SSE Composite (SSE, China), Nikkei (TSE, Japan), DAX (FSE, Germany), FTSE 100 (LSE, Britain) and NIFTY (NSE, India). The daily mean…
Social, technological and economic time series are divided by events which are usually assumed to be random albeit with some hierarchical structure. It is well known that the interevent statistics observed in these contexts differs from the…
We extend and test empirically the multifractal model of asset returns based on a multiplicative cascade of volatilities from large to small time scales. The multifractal description of asset fluctuations is generalized into a multivariate…
The notion of the abundance of fractals is critically re-examined in light of surprising data regarding the scaling range in empirical reports on fractality.
There has been a trend in the past decade to describe the large-scale structures in the Universe as a (multi)fractal set. However, one of the main objections raised by the opponents of this approach deals with the transition to homogeneity.…
Multifractals are inhomogeneous measures (or functions) which are typically described by a full spectrum of real dimensions, as opposed to a single real dimension. Results from the study of fractal strings in the analysis of their geometry,…
The statistical properties of the return intervals $\tau_q$ between successive 1-min volatilities of 30 liquid Chinese stocks exceeding a certain threshold $q$ are carefully studied. The Kolmogorov-Smirnov (KS) test shows that 12 stocks…
This paper, for the first time, focuses on the sector-wise analysis of a stock market through multifractal analysis. We have considered Bombay Stock Exchange, India, and identified two time scales, short ($<200$ days) and long time-scale…
Volatility of intra-day stock market indices computed at various time horizons exhibits a scaling behaviour that differs from what would be expected from fractional Brownian motion (fBm). We investigate this anomalous scaling by using…
Large and stable indices of the world wide stock markets such as NYSE and SP 500 together with NASDAQ -- the index representing markets of new trends, and WIG -- the index of the local stock market of Eastern Europe, are considered. Due to…