Extreme values and fat tails of multifractal fluctuations

Details Extreme values and fat tails of multifractal fluctuations Extreme values and fat tails of multifractal fluctuations

2005-09-14

arxiv.org/abs/cond-mat/0509357v1

Physics

Condensed Matter

Statistical Mechanics

Scientific paper

10.1103/PhysRevE.73.066114

In this paper we discuss the problem of the estimation of extreme event occurrence probability for data drawn from some multifractal process. We also study the heavy (power-law) tail behavior of probability density function associated with such data. We show that because of strong correlations, standard extreme value approach is not valid and classical tail exponent estimators should be interpreted cautiously. Extreme statistics associated with multifractal random processes turn out to be characterized by non self-averaging properties. Our considerations rely upon some analogy between random multiplicative cascades and the physics of disordered systems and also on recent mathematical results about the so-called multifractal formalism. Applied to financial time series, our findings allow us to propose an unified framemork that accounts for the observed multiscaling properties of return fluctuations, the volatility clustering phenomenon and the observed ``inverse cubic law'' of the return pdf tails.

Affiliated with

Also associated with

No associations

Rating

Extreme values and fat tails of multifractal fluctuations does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Extreme values and fat tails of multifractal fluctuations, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Extreme values and fat tails of multifractal fluctuations will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-681342