Understanding the source of multifractality in financial markets

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F12%3A10120273" target="_blank" >RIV/00216208:11230/12:10120273 - isvavai.cz</a>
Alternative codes found
RIV/67985556:_____/12:00377094
Result on the web
<a href="http://dx.doi.org/10.1016/j.physa.2012.03.037" target="_blank" >http://dx.doi.org/10.1016/j.physa.2012.03.037</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.physa.2012.03.037" target="_blank" >10.1016/j.physa.2012.03.037</a>

Result language
angličtina
Original language name
Understanding the source of multifractality in financial markets
Original language description
In this paper, we use the generalized Hurst exponent approach to study the multi-scaling behavior of different financial time series. We show that this approach is robust and powerful in detecting different types of multi-scaling. We observe a puzzling phenomenon where an apparent increase in multifractality is measured in time series generated from shuffled returns, where all time-correlations are destroyed, while the return distributions are conserved. This effect is robust and it is reproduced in several real financial data including stock market indices, exchange rates and interest rates. In order to understand the origin of this effect we investigate different simulated time series by means of the Markov switching multifractal model, autoregressive fractionally integrated moving average processes with stable innovations, fractional Brownian motion and Levy flights. Overall we conclude that the multifractality observed in financial time series is mainly a consequence of the charact
Czech name
—
Czech description
—

Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
—

Project
<a href="/en/project/GA402%2F09%2F0965" target="_blank" >GA402/09/0965: New Approaches to Monitoring and Forecasting Financial Markets</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Similar results(10)