2001/08/31 by M. Ausloos, K. Ivanova · 3 citations
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #Statistical Mechanics and Entropy #Theoretical and Computational Physics #cond-mat
paper · pdf · doi:10.1016/s0010-4655(02)00372-7
6 pages, 3 figures; an invited talk at: Conference on Computational Physics 2001, Sept 5-8, Aachen, Germany
arxiv created 2002/01/28 · openalex publication_date 2002/08/01 · arxiv updated 2009/11/30 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28
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(γ(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.