Techniques For Multifractal Spectrum Estimation In Financial Time Series

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F15%3A00230681" target="_blank" >RIV/68407700:21340/15:00230681 - isvavai.cz</a>
Result on the web
<a href="http://www.witpress.com/elibrary/dne-volumes/10/3/990" target="_blank" >http://www.witpress.com/elibrary/dne-volumes/10/3/990</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.2495/DNE-V10-N3-261-266" target="_blank" >10.2495/DNE-V10-N3-261-266</a>

Result language
angličtina
Original language name
Techniques For Multifractal Spectrum Estimation In Financial Time Series
Original language description
We show that a multifractal analysis offers a new and potentially promising avenue for quantifying the complexity of various time series. In particular, we compare the most common techniques used for multifractal scaling exponents estimation. This is done from both a theoretical and phenomenological point of view. In our discussion we speci?cally focus on methods based on estimation of Rényi entropy, which provide a powerful tool especially in the presence of heavy-tailed data. As a testbed for the applicability of above multifractal methods we use various real ?nancial datasets, including both daily and high-frequency data.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BE - Theoretical physics
OECD FORD branch
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Project
<a href="/en/project/GA14-07983S" target="_blank" >GA14-07983S: Vacuum structure in Quantum Field Theories</a><br>
Continuities
S - Specificky vyzkum na vysokych skolach

Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical
International Journal of Design and Nature and Ecodynamics
ISSN
1755-7437
e-ISSN
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Volume of the periodical
10
Issue of the periodical within the volume
3
Country of publishing house
GB - UNITED KINGDOM
Number of pages
6
Pages from-to
261-266
UT code for WoS article
—
EID of the result in the Scopus database
2-s2.0-84955440293

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