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Financial multifractality and its subtleties: an example of DAX

A. Z. Gorski·S. Drozdz·J. Speth
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Abstract

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 ($d_q$) and the generalized Hurst exponents ($H_q$) 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.

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BibTeXRIS

A. Z. Gorski, S. Drozdz, J. Speth. 2002-05-23. Financial multifractality and its subtleties: an example of DAX. https://doi.org/10.1016/s0378-4371(02)01021-x

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