Financial multifractality and its subtleties: an example of DAX
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.
Year of publication: |
2002-05
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Authors: | Gorski, A. Z. ; Drozdz, S. ; Speth, J. |
Institutions: | arXiv.org |
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