Siokis, Fotios M. - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 5, pp. 1164-1171
We analyze the complexity of rare events of the DJIA Index. We reveal that the returns of the time series exhibit strong multifractal properties meaning that temporal correlations play a substantial role. The effect of major stock market crashes can be best illustrated by the comparison of the...