当前位置: X-MOL 学术Rep. Prog. Phys. › 论文详情
Multifractal analysis of financial markets: a review.
Reports on Progress in Physics ( IF 17.032 ) Pub Date : 2019-09-10 , DOI: 10.1088/1361-6633/ab42fb
Zhi-Qiang Jiang,Wen-Jie Xie,Wei-Xing Zhou,Didier Sornette

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.
更新日期:2019-11-19

 

全部期刊列表>>
chemistry
物理学研究前沿热点精选期刊推荐
自然职位线上招聘会
欢迎报名注册2020量子在线大会
化学领域亟待解决的问题
材料学研究精选新
GIANT
ACS ES&T Engineering
ACS ES&T Water
ACS Publications填问卷
屿渡论文,编辑服务
阿拉丁试剂right
南昌大学
王辉
南方科技大学
彭小水
隐藏1h前已浏览文章
课题组网站
新版X-MOL期刊搜索和高级搜索功能介绍
ACS材料视界
天合科研
x-mol收录
赵延川
李霄羽
廖矿标
朱守非
试剂库存
down
wechat
bug