Multifractal geometry in stock market time series

DOI10.1016/S0378-4371(02)01830-7zbMath1017.91084OpenAlexW2021840191MaRDI QIDQ1867953

Antonio Turiel, Conrad J. Pérez-Vicente

Publication date: 23 April 2003

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4371(02)01830-7

zbMATH Keywords

returnsmost singular manifoldseries dynamics

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (6)

Modelling stock price movements: multifractality or multifractionality? ⋮ Finite-size effect and the components of multifractality in financial volatility ⋮ Numerical methods for the estimation of multifractal singularity spectra on sampled data: A comparative study ⋮ An improved multifractal method for pavement cracks extraction ⋮ MULTIFRACTAL MEASURES OF TIME SERIES: f(α) SURFACES ⋮ ON OPTIMAL WAVELET BASES FOR THE REALIZATION OF MICROCANONICAL CASCADE PROCESSES

Cites Work

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• A random process for the construction of multiaffine fields
• Ten Lectures on Wavelets
• MULTIFRACTAL FLUCTUATIONS IN FINANCE
• Coarse-graining and self-similarity of price fluctuations

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