Multifractal nature of stock exchange prices

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 $h(\gamma (q))$ 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.

6 pages, 3 figures; an invited talk at: Conference on Computational Physics 2001, Sept 5-8, Aachen, Germany

References in corpus (1)

• Correlations Between Reconstructed EUR Exchange Rates vs. CHF, DKK, GBP, JPY and USD

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