Modeling Financial Time Series: Multifractal Cascades and Rényi Entropy

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F14%3A00210668" target="_blank" >RIV/68407700:21340/14:00210668 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1007/978-3-642-45438-7_22" target="_blank" >http://dx.doi.org/10.1007/978-3-642-45438-7_22</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/978-3-642-45438-7_22" target="_blank" >10.1007/978-3-642-45438-7_22</a>

Result language
angličtina
Original language name
Modeling Financial Time Series: Multifractal Cascades and Rényi Entropy
Original language description
We show that a number of realistic financial time series can be well mimicked by multiplicative multifractal cascade processes. The key observation is that the multi-scale behavior in financial progressions fits well the multifractal cascade scaling paradigm. Connections with Kolmogorov?s idea of multiplicative cascade of eddies in the well developed turbulence are briefly discussed. To put some flesh on a bare bones we compare volatility time series for S&P 500 stock index with a simulated multiplicative multifractal cascade processes. Qualitative agreement is surprisingly good. Salient issues, such as Codimension functions or Multifractal Diffusion analysis and its role in scaling identification are also discussed.
Czech name
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Czech description
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Project
<a href="/en/project/GCP402%2F12%2FJ077" target="_blank" >GCP402/12/J077: Application of generalized statistics in critical phenomena and financial markets</a><br>
Continuities
S - Specificky vyzkum na vysokych skolach

Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Interdisciplinary Symposium on Complex Systems (Emergence, Complexity and Computation)
ISBN
978-3-642-45437-0
ISSN
2194-7287
e-ISSN
—
Number of pages
10
Pages from-to
227-236
Publisher name
Springer
Place of publication
Berlin
Event location
Praha
Event date
Sep 10, 2013
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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