Multifractal Analysis and Local Hoelder Exponents Approach to Detecting Stock Markets Crashes

Details Multifractal Analysis and Local Hoelder Exponents Approach to Detecting Stock Markets Crashes Multifractal Analysis and Local Hoelder Exponents Approach to Detecting Stock Markets Crashes

2004-07-22

arxiv.org/abs/cond-mat/0407603v1

Physics

Condensed Matter

Other Condensed Matter

8 pages, 4 figures

Scientific paper

This paper is devoted to problem of detecting critical events at finiacial markets using methods of multifractal analysis. Namely, the local regularity of time-series is studied. As a result, one can find out a special behavior or signal of regularity before crashes. This spesial behaviour of local Hoelder exponents inherent in financial time series can be used in detecting critcal events or crashes at financial markets.

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