Related papers: Multifractality in Time Series
Multifractal analysis and extensive statistical tests are performed upon intraday minutely data within individual trading days for four stock market indexes (including HSI, SZSC, S&P500, and NASDAQ) to check whether the indexes (instead of…
Multifractal processes are a relatively new tool of stock market analysis. Their power lies in the ability to take multiple orders of autocorrelations into account explicitly. In the first part of the paper we discuss the framework of the…
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…
We propose a simple stochastic volatility model which is analytically tractable, very easy to simulate and which captures some relevant stylized facts of financial assets, including scaling properties. In particular, the model displays a…
The price of financial assets are, since Bachelier, considered to be described by a (discrete or continuous) time sequence of random variables, i.e a stochastic process. Sharp scaling exponents or unifractal behavior of such processes has…
By applying the multifractal detrended fluctuation analysis to the high-frequency tick-by-tick data from Deutsche B\"orse both in the price and in the time domains, we investigate multifractal properties of the time series of logarithmic…
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)…
In this paper, we provide a simple, ``generic'' interpretation of multifractal scaling laws and multiplicative cascade process paradigms in terms of volatility correlations. We show that in this context 1/f power spectra, as observed…
The multifractal structure of the temporal dependence of the Deutsche Aktienindex (DAX) is analyzed. The $q$-th order moments of the structure functions and the singular measures are calculated. The generalized Hurst exponent $H(q)$ and the…
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…
This dissertation investigates the ability of the Ising model to replicate statistical characteristics, or stylized facts, commonly observed in financial assets. The study specifically examines in the S&P500 index the following features:…
We analyzed multifractal properties of 5-minute stock returns from a period of over two years for 100 highly capitalized American companies. The two sources: fat-tailed probability distributions and nonlinear temporal correlations, vitally…
Based on the Multifractal Detrended Fluctuation Analysis (MFDFA) and on the Wavelet Transform Modulus Maxima (WTMM) methods we investigate the origin of multifractality in the time series. Series fluctuating according to a qGaussian…
The minute fluctuations of of S&P 500 and NASDAQ 100 indices display Boltzmann statistics over a wide range of positive as well as negative returns, thus allowing us to define a {\em market temperature} for either sign. With increasing time…
Detailed study of multifractal characteristics of the financial time series of asset values and of its returns is performed using a collection of the high frequency Deutsche Aktienindex data. The tail index ($\alpha$), the Renyi exponents…
Scaling properties of time series are usually studied in terms of the scaling laws of empirical moments, which are the time average estimates of moments of the dynamic variable. Nonlinearities in the scaling function of empirical moments…
This is a short review in honor of B. Mandelbrot's 80st birthday, to appear in W ilmott magazine. We discuss how multiplicative cascades and related multifractal ideas might be relevant to model the main statistical features of financial…
In this paper we will try to assess the multifractality displayed by the high-frequency returns of Madrid's Stock Exchange IBEX35 index. A Multifractal Detrended Fluctuation Analysis shows that this index has a wide singularity spectrum…
We find prominent similarities in the features of the time series for the overlap of two Cantor sets when one set moves with uniform relative velocity over the other and time series of stock prices. An anticipation method for some of the…
Many financial variables are found to exhibit multifractal nature, which is usually attributed to the influence of temporal correlations and fat-tailedness in the probability distribution (PDF). Based on the partition function approach of…