MULTISCALE HIGUCHI FRACTAL DIMENSION ANALYSIS OF THE STANDARD AND POOR’S INDEX

E. Rodriguez, L. Castro and J. Alvarez-Ramirez
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E. Rodriguez: División de Ciencias Básica e Ingeniería. Universidad Autónoma, Metropolitana-Iztapalapa, Apartado Postal 55-534, Iztapalapa, CDMX, 09340, México
L. Castro: División de Ciencias Básica e Ingeniería. Universidad Autónoma, Metropolitana-Iztapalapa, Apartado Postal 55-534, Iztapalapa, CDMX, 09340, México
J. Alvarez-Ramirez: División de Ciencias Básica e Ingeniería. Universidad Autónoma, Metropolitana-Iztapalapa, Apartado Postal 55-534, Iztapalapa, CDMX, 09340, México

FRACTALS (fractals), 2025, vol. 33, issue 05, 1-10

Abstract: This work explores the use of the Higuchi fractal dimension (HFD) to characterize the complexity of the Standard and Poor’s (S&P) Index for the period from 1928 to 2023. It is found that the fractal dimension is not constant but exhibits large time fluctuations. In line with adaptive market hypothesis notions, such a feature can be seen as the response of the stock market to a complex and changing environment formed by a diversity of participants and exogenous shocks. The concept of fractal dimension was extended to consider scale dependence and multifractality. It is shown that the fractality dimension approaches an integer value when the time scale increases, which reflects smoother price fluctuation profiles. It was also shown that the multifractal HFD exhibits large fluctuations for scales of weeks, months, and quarters, which can be linked to the seasonal periods of the operation of the stock market. The impact of salient events was also assessed. It was found that the 1987 and 2008 market crashes had the highest effect on the multifractal HFD, suggesting that these events involved multiple factors. Overall, the results in the present work showed that the fractal dimension tools and notions provide a useful and complementary framework for characterizing the behavior of financial indices.

Keywords: Higuchi fractal dimension; Stock market; Multiscale; Multifractal (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1142/S0218348X25500380

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