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Multifractal nature of stock exchange prices

M. Ausloos·K. Ivanova
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Abstract

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 $h(γ(q))$ 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.

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M. Ausloos, K. Ivanova. 2002-01-28. Multifractal nature of stock exchange prices. https://doi.org/10.1016/s0010-4655(02)00372-7

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