Multifractal geometry in stock market time series

Abstract : It has been recently noticed that time series of returns in stock markets are of multifractal (multiscaling) character. In that context, multifractality has been always evidenced by its statistical signature (i.e., the scaling exponents associated to a related variable). However, a direct geometrical framework, much more revealing about the underlying dynamics, is possible. In this paper, we present the techniques allowing the multifractal decomposition. We will show that there exists a particular fractal component, the most singular manifold (MSM), which contains the relevant information about the dynamics of the series: it is possible to reconstruct the series (at a given precision) from the MSM. We analyze the dynamics of the MSM, which shows revealing features about the evolution of this type of series.
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Physica A: Statistical Mechanics and its Applications, Elsevier, 2003, 322, pp.629-649. 〈10.1016/S0378-4371(02)01830-7〉
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Contributeur : Brigitte Briot <>
Soumis le : lundi 18 octobre 2010 - 14:51:45
Dernière modification le : jeudi 14 avril 2016 - 01:04:55

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Antonio Turiel, C. Perez-Vicente. Multifractal geometry in stock market time series. Physica A: Statistical Mechanics and its Applications, Elsevier, 2003, 322, pp.629-649. 〈10.1016/S0378-4371(02)01830-7〉. 〈inria-00527183〉

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