A risk measure of the stock market that is based on multifractality

DOI10.1016/j.physa.2022.127203OpenAlexW4221008660MaRDI QIDQ2128744

Qi Sun, Liqing Chen, Zilu Zhang, Yi Wang

Publication date: 22 April 2022

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

Full work available at URL: https://doi.org/10.1016/j.physa.2022.127203

zbMATH Keywords

market riskrisk measuremultifractalCVaR

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

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• Multifractal methodology
• Multifractal analysis of Hang Seng index in Hong Kong stock market
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• Multifractal returns and hierarchical portfolio theory
• A statistical mechanical approach to restricted integer partition functions
• On the interplay between multiscaling and stock dependence

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