Multifractal analysis of stock exchange crashes

Fotios M. Siokis

Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, issue 5, 1164-1171

Abstract: We analyze the complexity of rare events of the DJIA Index. We reveal that the returns of the time series exhibit strong multifractal properties meaning that temporal correlations play a substantial role. The effect of major stock market crashes can be best illustrated by the comparison of the multifractal spectra of the time series before and after the crash. Aftershock periods compared to foreshock periods exhibit richer and more complex dynamics. Compared to an average crash, calculated by taking into account the larger 5 crashes of the DJIA Index, the 1929 event exhibits significantly more increase in multifractality than the 1987 crisis.

Keywords: Stock market crashes; Stock returns; Multifractality (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:392:y:2013:i:5:p:1164-1171

DOI: 10.1016/j.physa.2012.11.023

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