文献类型：期刊文献

英文题名：Multifractal analysis of financial markets

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

机构：[1] Research Center for Econophysics, East China University of Science and Technology, Shanghai, 200237, China; [2] Department of Finance, School of Business, East China University of Science and Technology, Shanghai, 200237, China; [3] Department of Mathematics, School of Science, East China University of Science and Technology, Shanghai, 200237, China; [4] Department of Management, Technology and Economics, Eth Zurich, Zurich, Switzerland; [5] Swiss Finance Institute, C/o University of Geneva, 40 blvd. Du Pont d'Arve, Geneva 4, CH 1211, Switzerland

年份：2018

外文期刊名：arXiv

收录：EI(收录号：20200158464)

语种：英文

外文关键词：Commerce - Financial data processing - Fractals - Large scale systems - Risk assessment - Risk management - Time series - Time series analysis

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. Copyright ? 2018, The Authors. All rights reserved.