Financial multifractality and its subtleties: an example of DAX

A. Z. Gorski, S. Drozdz and J. Speth

Papers from arXiv.org

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 ($\alpha$), the Renyi exponents based on the box counting algorithm for the graph ($d_q$) and the generalized Hurst exponents ($H_q$) 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: 2002-05
References: Add references at CitEc
Citations: View citations in EconPapers (17)

Published in Physica A316 (2002) 496-510.

Downloads: (external link)
http://arxiv.org/pdf/cond-mat/0205482 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:cond-mat/0205482

Access Statistics for this paper

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