Multifractal analysis of financial markets

Zhi-Qiang Jiang, Wen-Jie Xie, Wei-Xing Zhou and Didier Sornette
Additional contact information
Zhi-Qiang Jiang: ECUST
Wen-Jie Xie: ECUST
Didier Sornette: ETH Zurich

Papers from arXiv.org

Abstract: Multifractality is ubiquitously observed in complex natural and socioeconomic systems. Multifractal analysis provides powerful tools to understand the complex nonlinear nature of time series in diverse fields. Inspired by its striking analogy with hydrodynamic turbulence, from which the idea of multifractality originated, multifractal analysis of financial markets has bloomed, forming one of the main directions of econophysics. We review the multifractal analysis methods and multifractal models adopted in or invented for financial time series and their subtle properties, which are applicable to time series in other disciplines. We survey the cumulating evidence for the presence of multifractality in financial time series in different markets and at different time periods and discuss the sources of multifractality. The usefulness of multifractal analysis in quantifying market inefficiency, in supporting risk management and in developing other applications is presented. We finally discuss open problems and further directions of multifractal analysis.

Date: 2018-05
New Economics Papers: this item is included in nep-hme and nep-rmg
References: Add references at CitEc
Citations: View citations in EconPapers (19)

Published in Reports on Progress in Physics 82 (12), 125901 (2019)

Downloads: (external link)
http://arxiv.org/pdf/1805.04750 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1805.04750

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().