nep-ets 2013-09-25 papers

on Econometric Time Series

Issue of 2013‒09‒25
one paper chosen by
Yong Yin
SUNY at Buffalo

New measure of multifractality and its application in finances By Dariusz Grech; Grzegorz Pamu{\l}a

New measure of multifractality and its application in finances

By:	Dariusz Grech; Grzegorz Pamu{\l}a
Abstract:	We provide an alternative method for analysis of multifractal properties of time series. The new approach takes into account the behaviour of the whole multifractal profile of the generalized Hurst exponent $h(q)$ for all moment orders $q$, not limited only to the edge values of $h(q)$ describing in MFDFA scaling properties of smallest and largest fluctuations in signal. The meaning of this new measure is clarified and its properties are investigated for synthetic multifractal data and real signals taken from stock market. We show that the proposed new measure is free of problems one can meet in real nonstationary signals, while searching their multifractal signatures.
Date:	2013–09
URL:	http://d.repec.org/n?u=RePEc:arx:papers:1309.5466&r=ets

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