Methods and Techniques for Multifractal Spectrum Estimation in Financial Time Series

Kód výsledku v 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>

Výsledek na webu

<a href="http://www.asmda.es" target="_blank" >http://www.asmda.es</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Methods and Techniques for Multifractal Spectrum Estimation in Financial Time Series

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Methods and Techniques for Multifractal Spectrum Estimation in Financial Time Series

Popis výsledku anglicky

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.

Druh

O - Ostatní výsledky

CEP obor

BA - Obecná matematika

OECD FORD obor

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Projekt

<a href="/cs/project/GCP402%2F12%2FJ077" target="_blank" >GCP402/12/J077: Aplikace zobecněné statistiky v teorii kritických jevů a ve finančních trzích</a><br>

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2014

Kód důvěrnosti údajů

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