Understanding the source of multifractality in financial markets

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/67985556:_____/12:00377094

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Understanding the source of multifractality in financial markets

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Understanding the source of multifractality in financial markets

Popis výsledku anglicky

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

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GA402%2F09%2F0965" target="_blank" >GA402/09/0965: Nové přístupy pro monitorování a predikci na kapitálových trzích</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2012

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Physica A: Statistical Mechanics and its Applications

ISSN

0378-4371

e-ISSN

—

Svazek periodika

391

Číslo periodika v rámci svazku

17

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

18

Strana od-do

4234-4251

Kód UT WoS článku

000305302600005

EID výsledku v databázi Scopus

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