Multifractal Analysis and Local Hoelder Exponents Approach to Detecting Stock Markets Crashes

2004/07/22 by I. A. Agaev, Agaev, I. A., Yu. A. Kuperin +1
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Physical sciences #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #Other Condensed Matter (cond-mat.other) #Statistical Finance (q-fin.ST) #cond-mat.other #q-fin.ST

paper · pdf · doi:10.48550/arxiv.cond-mat/0407603

8 pages, 4 figures

arxiv created 2004/07/22 · openalex publication_date 2004/07/22 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

This paper is devoted to problem of detecting critical events at finiacial markets using methods of multifractal analysis. Namely, the local regularity of time-series is studied. As a result, one can find out a special behavior or signal of regularity before crashes. This spesial behaviour of local Hoelder exponents inherent in financial time series can be used in detecting critcal events or crashes at financial markets.

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