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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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Contributor : Brigitte Briot Connect in order to contact the contributor
Submitted on : Monday, October 18, 2010 - 2:51:45 PM
Last modification on : Friday, February 4, 2022 - 3:12:58 AM

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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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