Multifractal Analysis and Local Hoelder Exponents Approach to Detecting Stock Markets Crashes

I. A. Agaev and Yu. A. Kuperin

Papers from arXiv.org

Abstract: This paper is devoted to problem of detecting critical events at finiacial markets using methods of multifractal analysis. Namely, the local regularity of time-series is studied. As a result, one can find out a special behavior or signal of regularity before crashes. This spesial behaviour of local Hoelder exponents inherent in financial time series can be used in detecting critcal events or crashes at financial markets.

Date: 2004-07
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