| bibtype |
J -
Journal Article
|
| ARLID |
0377094 |
| utime |
20240103200912.0 |
| mtime |
20120528235959.9 |
| WOS |
000305302600005 |
| DOI |
10.1016/j.physa.2012.03.037 |
| title
(primary) (eng) |
Understanding the source of multifractality in financial markets |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0257423 |
| ISSN |
0378-4371 |
| title
|
Physica. A : Statistical Mechanics and its Applications |
| volume_id |
391 |
| volume |
17 (2012) |
| page_num |
4234-4251 |
| publisher |
|
|
| keyword |
Multifractality |
| keyword |
Financial markets |
| keyword |
Hurst exponent |
| author
(primary) |
| ARLID |
cav_un_auth*0242028 |
| name1 |
Baruník |
| name2 |
Jozef |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0281282 |
| name1 |
Aste |
| name2 |
T. |
| country |
GB |
|
| author
|
| ARLID |
cav_un_auth*0281283 |
| name1 |
Di Matteo |
| name2 |
T. |
| country |
GB |
|
| author
|
| ARLID |
cav_un_auth*0281284 |
| name1 |
Liu |
| name2 |
R. |
| country |
AU |
|
| source |
|
| cas_special |
| project |
| project_id |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
In this paper, we use the generalized Hurst exponent approach to study the multi-scaling behavior of different financial time series. We show that this approach is robust and powerful in detecting different types of multi-scaling. We observe a puzzling phenomenon where an apparent increase in multifractality is measured in time series generated from shuffled returns, where all time-correlations are destroyed, while the return distributions are conserved. This effect is robust and it is reproduced in several real financial data including stock market indices, exchange rates and interest rates. In order to understand the origin of this effect we investigate different simulated time series by means of the Markov switching multifractal model, autoregressive fractionally integrated moving average processes with stable innovations, fractional Brownian motion and Levy flights. Overall we conclude that the multifractality observed in financial time series is mainly a consequence of the characteristic fat-tailed distribution of the returns and time- correlations have the effect to decrease the measured multifractality. |
| reportyear |
2013 |
| RIV |
AH |
| num_of_auth |
4 |
| permalink |
http://hdl.handle.net/11104/0209346 |
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PHYSICSMULTIDISCIPLINARY |
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1.651 |
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0.51 |
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7.7 |
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15376 |
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34.67 |
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1.76 |
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44.7 |
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66.867 |
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| arlyear |
2012 |
| mrcbU34 |
000305302600005 WOS |
| mrcbU63 |
cav_un_epca*0257423 Physica. A : Statistical Mechanics and its Applications 0378-4371 1873-2119 Roč. 391 č. 17 2012 4234 4251 Elsevier |
|