1 research outputs found
Multifractal analysis of financial markets
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.Comment: A review paper contains 145 page