Multifractal nature of stock exchange prices

Details Multifractal nature of stock exchange prices Multifractal nature of stock exchange prices

2001-08-24

arxiv.org/abs/cond-mat/0108394v2

Physics

Condensed Matter

6 pages, 3 figures; an invited talk at: Conference on Computational Physics 2001, Sept 5-8, Aachen, Germany

Scientific paper

10.1016/S0010-4655(02)00372-7

The multifractal structure of the temporal dependence of the Deutsche Aktienindex (DAX) is analyzed. The $q$-th order moments of the structure functions and the singular measures are calculated. The generalized Hurst exponent $H(q)$ and the $h(\gamma(q))$ curve indicate a hierarchy of power law exponents. This approach leads to characterizing the nonstationarity and intermittency pertinent to such financial signals, indicating differences with turbulence data. A list of results on turbulence and financial markets is presented for asserting the analogy.

Affiliated with

Also associated with

No associations

Rating

Multifractal nature of stock exchange prices 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 Multifractal nature of stock exchange prices, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Multifractal nature of stock exchange prices will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-200204