Green, Elena and Hanan, William and Heffernan, Daniel
(2014)
The origins of multifractality in financial time series
and the effect of extreme events.
European Physical Journal B, 87.
pp. 129-138.
ISSN 1434-6028
Abstract
This paper presents the results of multifractal testing of two sets of financial data: daily data
of the Dow Jones Industrial Average (DJIA) index and minutely data of the Euro Stoxx 50 index. Where
multifractal scaling is found, the spectrum of scaling exponents is calculated via Multifractal Detrended
Fluctuation Analysis. In both cases, further investigations reveal that the temporal correlations in the data
are a more significant source of the multifractal scaling than are the distributions of the returns. It is also
shown that the extreme events which make up the heavy tails of the distribution of the Euro Stoxx 50
log returns distort the scaling in the data set. The most extreme events are inimical to the scaling regime.
This result is in contrast to previous findings that extreme events contribute to multifractality.
| Item Type: |
Article
|
| Keywords: |
multifractality; financial time series; extreme events; |
| Academic Unit: |
Faculty of Science and Engineering > Mathematical Physics |
| Item ID: |
5723 |
| Identification Number: |
https://doi.org/10.1140/ ep jb/ e2014-50064-x |
| Depositing User: |
Prof. Daniel Heffernan
|
| Date Deposited: |
23 Jan 2015 10:47 |
| Journal or Publication Title: |
European Physical Journal B |
| Publisher: |
Springer Verlag |
| Refereed: |
Yes |
| URI: |
|
| Use Licence: |
This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available
here |
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