MURAL - Maynooth University Research Archive Library

    The origins of multifractality in financial time series and the effect of extreme events

    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

    Download (505kB) | Preview

    Share your research

    Twitter Facebook LinkedIn GooglePlus Email more...

    Add this article to your Mendeley library


    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: 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
    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

    Repository Staff Only(login required)

    View Item Item control page


    Downloads per month over past year

    Origin of downloads