Detailed study of multifractal characteristics of the financial time series of asset values and of its returns is performed using a collection of the high-frequency Deutsche Aktienindex data. The tail index ( α), the Renyi exponents based on the box counting algorithm for the graph ( dq) and the generalized Hurst exponents ( Hq) are computed in parallel for short and daily return times. The results indicate a more complicated nature of the stock market dynamics than just consistent multifractal.
Physica A Statistical Mechanics and its Applications
- Pub Date:
- December 2002
- Condensed Matter - Statistical Mechanics;
- Nonlinear Sciences - Adaptation and Self-Organizing Systems;
- Quantitative Finance - Statistical Finance
- LaTeX 2.09 + RevTeX 3.1, 9 EPS figures