Multifractal detrended fluctuation analysis of derivative and spot markets

Gyuchang Lim, SooYong Kim, Hyoung Lee, Kyungsik Kim and Dong-In Lee

Physica A: Statistical Mechanics and its Applications, 2007, vol. 386, issue 1, 259-266

Abstract: We investigate the multifractal properties of price increments in the cases of derivative and spot markets. Through the multifractal detrended fluctuation analysis, we estimate the generalized Hurst and the Renyi exponents for price fluctuations. By deriving the singularity spectrum from the above exponents, we quantify the multifractality of a financial time series and compare the multifractal properties of two different markets. The different behavior of each agent-group in transactions is also discussed. In order to identify the nature of the underlying multifractality, we apply the method of surrogate data to both sets of financial data. It is shown that multifractality due to a fat-tailed distribution is significant.

Keywords: Multifractal detrended fluctuation analysis; Generalized dimension; Renyi exponent; KTB; USB (search for similar items in EconPapers)
Date: 2007
References: View complete reference list from CitEc
Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:386:y:2007:i:1:p:259-266

DOI: 10.1016/j.physa.2007.07.055

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