文献类型：期刊文献

英文题名：Multifractal analysis of financial markets: a review

作者：Jiang, Zhi-Qiang[1,2];Xie, Wen-Jie[1,2];Zhou, Wei-Xing[1,2,3];Sornette, Didier[4,5,6,7]

机构：[1]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[2]East China Univ Sci & Technol, Sch Business, Dept Finance, Shanghai 200237, Peoples R China;[3]East China Univ Sci & Technol, Sch Sci, Dept Math, Shanghai 200237, Peoples R China;[4]Swiss Fed Inst Technol, Dept Management Technol & Econ, Zurich, Switzerland;[5]Univ Geneva, Swiss Finance Inst, 40 Blvd Pont Arve, CH-1211 Geneva 4, Switzerland;[6]Tokyo Inst Technol, Tokyo Tech World Res Hub Initiat WRHI, Inst Innovat Res, Tokyo, Japan;[7]Southern Univ Sci & Technol, Inst Risk Anal Predict & Management, Acad Adv Interdisciplinary Studies, Shenzhen 518055, Guangdong, Peoples R China

年份：2019

卷号：82

期号：12

外文期刊名：REPORTS ON PROGRESS IN PHYSICS

收录：;WOS:【SCI-EXPANDED(收录号:WOS:000499381400001)】；

基金：We thank Rui-Qi Han, Jun-Chao Ma, Wen-Bo Tang, Yu-Lei Wan, Yan-Hong Yang, Peng Yue, and Xiao Zhang, especially Xing-Lu Gao and Peng Wang for assistance. This work was partially supported by the National Natural Science Foundation of China (Grant Nos. U1811462, 71532009) and the Fundamental Research Funds for the Central Universities.

语种：英文

外文关键词：econophysics; multifractal analysis; financial markets; complex systems; scaling laws; complex networks

摘要：Multifractality is ubiquitously observed in complex natural and socioeconomic systems. Multifractal analysis provides powerful tools to understand the complex nonlinear nature of time series in diverse fields. Inspired by its striking analogy with hydrodynamic turbulence, from which the idea of multifractality originated, multifractal analysis of financial markets has bloomed, forming one of the main directions of econophysics. We review the multifractal analysis methods and multifractal models adopted in or invented for financial time series and their subtle properties, which are applicable to time series in other disciplines. We survey the cumulating evidence for the presence of multifractality in financial time series in different markets and at different time periods and discuss the sources of multifractality. The usefulness of multifractal analysis in quantifying market inefficiency, in supporting risk management and in developing other applications is presented. We finally discuss open problems and further directions of multifractal analysis.