Methods and Techniques for Multifractal Spectrum Estimation in Financial Time Series
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F14%3A00217663" target="_blank" >RIV/68407700:21340/14:00217663 - isvavai.cz</a>
Result on the web
<a href="http://www.asmda.es" target="_blank" >http://www.asmda.es</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Methods and Techniques for Multifractal Spectrum Estimation in Financial Time Series
Original language description
In this paper, we compare two key approaches used in time series analysis, namely the Multifractal Detrended Fluctuation Analysis and Multifractal Diusion Entropy Analysis. The comparison is done from both the theoretical and numerical point of view. Toput some esh on bare bones, we illustrate our analysis by applying both methods to three model time series. As a fourth illustration we analyze em- pirical time series of daily returns of S&P500 stock index recorded over the 50 years period. We argue that while the Multifractal Detrended Analysis is computationally more ecient, the Multifractal Diusion Entropy Analysis is conceptually cleaner. In addition, the latter allows a wider applicability in cases when time series have underlying distributions that are heavy tailed.
Czech name
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Czech description
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Classification
Type
O - Miscellaneous
CEP classification
BA - General mathematics
OECD FORD branch
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Result continuities
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
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů