Financial multifractality and its subtleties: an example of DAX

A.z Górski, S Drożdż and J Speth

Physica A: Statistical Mechanics and its Applications, 2002, vol. 316, issue 1, 496-510

Abstract: 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 (α), the Renyi exponents based on the box counting algorithm for the graph (dq) and the generalized Hurst exponents (Hq) are computed in parallel for short and daily return times. The results indicate a more complicated nature of the stock market dynamics than just consistent multifractal.

Date: 2002
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:316:y:2002:i:1:p:496-510

DOI: 10.1016/S0378-4371(02)01021-X

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