Related papers: Measuring multiscaling in financial time-series
Generalized dimensions of multifractal measures are usually seen as static objects, related to the scaling properties of suitable partition functions, or moments of measures of cells. When these measures are invariant for the flow of a…
The Random Parameters model was proposed to explain the structure of the covariance matrix in problems where most, but not all, of the eigenvalues of the covariance matrix can be explained by Random Matrix Theory. In this article, we…
This paper studies of the multifractal dynamics in 84 cryptocurrencies. It fills an important gap in the literature, by studying this market using two alternative multi-scaling methodologies. We find compelling evidence that…
The multifractal spectra of daily foreign exchange rates for US dollar (USD), the British Pound (GBP), the Euro (Euro) and the Japanese Yen (Yen) with respect to the Indian Rupee are analysed for the period 6th January 1999 to 24th July…
Inverse statistics in economics is considered. We argue that the natural candidate for such statistics is the investment horizons distribution. This distribution of waiting times needed to achieve a predefined level of return is obtained…
We investigate the possible drawbacks of employing the standard Pearson estimator to measure correlation coefficients between financial stocks in the presence of non-stationary behavior, and we provide empirical evidence against the…
We review a resent {\em time-dependent} performance measure for economical time series -- the (optimal) investment horizon approach. For stock indices, the approach shows a pronounced gain-loss asymmetry that is {\em not} observed for the…
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…
One of the most important studies in finance is to find out whether stock returns could be predicted. This research aims to create a new multivariate model, which includes dividend yield, earnings-to-price ratio, book-to-market ratio as…
A microscopic model of financial markets is considered, consisting of many interacting agents (spins) with global coupling and discrete-time thermal bath dynamics, similar to random Ising systems. The interactions between agents change…
Multifractal scaling (MFS) refers to structures that can be described as a collection of interwoven fractal subsets which exhibit power-law spatial scaling behavior with a range of scaling exponents (concentration, or singularity,…
We introduce a local multifractal formalism adapted to functions, measures or distributions which display multifractal characteristics that can change with time, or location. We develop this formalism in a general framework and we work out…
Identifying the relativistic multipole moments of a spacetime of an astrophysical object that has been constructed numerically is of major interest, both because the multipole moments are intimately related to the internal structure of the…
We present in this paper an empirical framework motivated by the practitioner point of view on stability. The goal is to both assess clustering validity and yield market insights by providing through the data perturbations we propose a…
We propose a novel algorithm - Multifractal Cross-Correlation Analysis (MFCCA) - that constitutes a consistent extension of the Detrended Cross-Correlation Analysis (DCCA) and is able to properly identify and quantify subtle characteristics…
Motivated by the problem of computing investment portfolio weightings we investigate various methods of clustering as alternatives to traditional mean-variance approaches. Such methods can have significant benefits from a practical point of…
We introduce a generalization of Higuchi's estimator of the fractal dimension as a new way to characterize the multifractal spectrum of univariate time series. The resulting multifractal Higuchi dimension analysis (MF-HDA) method considers…
We study a version of the mathematical Ruijsenaars-Schneider model, and reinterpret it physically in order to describe the spreading with time of quantum wave packets in a system where multifractality can be tuned by varying a parameter. We…
A new approach is presented to describe the change in the statistics of the log return distribution of financial data as a function of the timescale. To this purpose a measure is introduced, which quantifies the distance of a considered…
Pedestrian arrival times exhibit complex temporal organization across multiple scales, shaped by working hours, transportation schedules, and collective behaviors - features often neglected in conventional pedestrian arrival models. Using a…