Financial multifractality and its subtleties: an example of DAX

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 ($\alpha$), 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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References in corpus (4)

• Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime
• Quantifying dynamics of the financial correlations
• Pseudofractals and box counting algorithm
• Decomposing the stock market intraday dynamics

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