quantifying signals with power law correlations a comparative study of detrended fluctuation analysis and detrended moving average techniques detrended fluctuation analysis dfa and detrended moving average dma are two scaling analysis methods designed to quantify correlations in noisy nonstationary signals we systematically study the performance of different variants of the dma method when applied to artificially generated long range power law correlated signals with an a priori known scaling exponent alpha 0 and compare them with the dfa method we find that the scaling results obtained from different variants of the dma method strongly depend on the type of the moving average filter further we investigate the optimal scaling regime where the dfa and dma methods accurately quantify the scaling exponent alpha 0 and how this regime depends on the correlations in the signal finally we develop a three dimensional representation to determine how the stability of the scaling curves obtained from the dfa and dma methods depends on the scale of analysis the order of detrending and the order of the moving average we use as well as on the type of correlations in the signal

gaussian multiplicative chaos for symmetric isotropic matrices motivated by isotropic fully developed turbulence we define a theory of symmetric matrix valued isotropic gaussian multiplicative chaos our construction extends the scalar theory developed by j p kahane in 1985

information transfer network of global market indices abstract we study the topological properties of the information transfer networks itn of the global financial market indices for six different periods itn is a directed weighted network in which the direction and weight are determined by the transfer entropy between market indices by applying the threshold method it is found that itn undergoes a crossover from the complete graph to a small world sw network sw regime of itn for a global crisis is found to be much more enhanced than that for ordinary periods furthermore when itn is in sw regime the average clustering coefficient is found to be synchronized with average volatility of markets we also compare the results with the topological properties of correlation networks

on fitting the pareto levy distribution to stock market index data selecting a suitable cutoff value abstract the so called pareto levy or power law distribution has been successfully used as a model to describe probabilities associated to extreme variations of stock markets indexes worldwide the selection of the threshold parameter from empirical data and consequently the determination of the exponent of the distribution is often done using a simple graphical method based on a log log scale where a power law probability plot shows a straight line with slope equal to the exponent of the power law distribution this procedure can be considered subjective particularly with regard to the choice of the threshold or cutoff parameter in this work a more objective procedure based on a statistical measure of discrepancy between the empirical and the pareto levy distribution is presented the technique is illustrated for data sets from the new york stock exchange djia and the mexican stock market ipc

modeling interactions of trading volumes in financial dynamics abstract a dynamic herding model with interactions of trading volumes is introduced at time t an agent trades with a probability which depends on the ratio of the total trading volume at time t 1 to its own trading volume at its last trade the price return is determined by the volume imbalance and number of trades the model can reproduce the power law distributions of the trading volume number of trades and price return and the probable relation between them the exponents are tunable by adjusting the values of the parameters but show slight deviation from those revealed in empirical studies moreover the time series generated are long range correlated we demonstrate that the results are rather robust and do not depend on the particular form of the trading probability

volatility clustering and scaling for financial time series due to attractor bubbling a microscopic model of financial markets is considered consisting of many interacting agents spins with global coupling and discrete time heat bath dynamics similar to random ising systems the interactions between agents change randomly in time in the thermodynamic limit the obtained time series of price returns show chaotic bursts resulting from the emergence of attractor bubbling or on off intermittency resembling the empirical financial time series with volatility clustering for a proper choice of the model parameters the probability distributions of returns exhibit power law tails with scaling exponents close to the empirical ones

the coupling analysis between stock market indices based on permutation measures abstract many information theoretic methods have been proposed for analyzing the coupling dependence between time series and it is significant to quantify the correlation relationship between financial sequences since the financial market is a complex evolved dynamic system recently we developed a new permutation based entropy called cross permutation entropy cpe to detect the coupling structures between two synchronous time series in this paper we extend the cpe method to weighted cross permutation entropy wcpe to address some of cpe s limitations mainly its inability to differentiate between distinct patterns of a certain motif and the sensitivity of patterns close to the noise floor it shows more stable and reliable results than cpe does when applied it to spiky data and ar 1 processes besides we adapt the cpe method to infer the complexity of short length time series by freely changing the time delay and test it with gaussian random series and random walks the modified method shows the advantages in reducing deviations of entropy estimation compared with the conventional one finally the weighted cross permutation entropy of eight important stock indices from the world financial markets is investigated and some useful and interesting empirical results are obtained

a k theoretic invariant for dynamical systems soit x t un systeme dynamique de dimension zero on considere le groupe quotient g c x z b x t ou c x z est le groupe des fonctions continues a valeur entiere sur x et b x t est le sous groupe des fonctions de la forme f f on montre que si x t est topologiquement transitif alors il y a un ordre naturel sur g qui fait de g un groupe ordonne

volatilities traded volumes and the hypothesis of price increments in derivative securities a detrended fluctuation analysis dfa is applied to the statistics of korean treasury bond ktb futures from which the logarithmic increments volatilities and traded volumes are estimated over a specific time lag in this study the logarithmic increment of futures prices has no long memory property while the volatility and the traded volume exhibit the existence of the long memory property to analyze and calculate whether the volatility clustering is due to a inherent higher order correlation not detected by with the direct application of the dfa to logarithmic increments of ktb futures it is of importance to shuffle the original tick data of future prices and to generate a geometric brownian random walk with the same mean and standard deviation it was found from a comparison of the three tick data that the higher order correlation inherent in logarithmic increments leads to volatility clustering particularly the result of the dfa on volatilities and traded volumes can be supported by the hypothesis of price changes

characterization of sleep stages by correlations in the magnitude and sign of heartbeat increments we study correlation properties of the magnitude and the sign of the increments in the time intervals between successive heartbeats during light sleep deep sleep and rapid eye movement rem sleep using the detrended fluctuation analysis method we find short range anticorrelations in the sign time series which are strong during deep sleep weaker during light sleep and even weaker during rem sleep in contrast we find long range positive correlations in the magnitude time series which are strong during rem sleep and weaker during light sleep we observe uncorrelated behavior for the magnitude during deep sleep since the magnitude series relates to the nonlinear properties of the original time series while the sign series relates to the linear properties our findings suggest that the nonlinear properties of the heartbeat dynamics are more pronounced during rem sleep thus the sign and the magnitude series provide information which is useful in distinguishing between the sleep stages

a model for stock returns and volatility we prove that student s t distribution provides one of the better fits to returns of s p component stocks and the generalized inverse gamma distribution best fits vix and vxo volatility data we further prove that stock returns are best fit by the product distribution of the generalized inverse gamma and normal distributions we find brown noise in vix and vxo time series and explain the mean and the variance of the relaxation times on approach to the steady state distribution

analysis of aggregated tick returns evidence for anomalous diffusion in order to investigate the origin of large price fluctuations we analyze stock price changes of ten frequently traded nasdaq stocks in the year 2002 though the influence of the trading frequency on the aggregate return in a certain time interval is important it cannot alone explain the heavy tailed distribution of stock price changes for this reason we analyze intervals with a fixed number of trades in order to eliminate the influence of the trading frequency and investigate the relevance of other factors for the aggregate return we show that in tick time the price follows a discrete diffusion process with a variable step width while the difference between the number of steps in positive and negative direction in an interval is gaussian distributed the step width is given by the return due to a single trade and is long term correlated in tick time hence its mean value can well characterize an interval of many trades and turns out to be an important determinant for large aggregate returns we also present a statistical model reproducing the cumulative distribution of aggregate returns for an accurate agreement with the empirical distribution we also take into account asymmetries of the step widths in different directions together with cross correlations between these asymmetries and the mean step width as well as the signs of the steps

multifractal analysis of stock exchange crashes abstract we analyze the complexity of rare events of the djia index we reveal that the returns of the time series exhibit strong multifractal properties meaning that temporal correlations play a substantial role the effect of major stock market crashes can be best illustrated by the comparison of the multifractal spectra of the time series before and after the crash aftershock periods compared to foreshock periods exhibit richer and more complex dynamics compared to an average crash calculated by taking into account the larger 5 crashes of the djia index the 1929 event exhibits significantly more increase in multifractality than the 1987 crisis

log amplitude statistics for beck cohen superstatistics as a possible generalization of beck cohen superstatistical processes we study non gaussian processes with temporal heterogeneity of local variance to characterize the variance heterogeneity we define log amplitude cumulants and log amplitude autocovariance and derive closed form expressions of the log amplitude cumulants for ensuremath chi 2 inverse ensuremath chi 2 and log normal superstatistical distributions furthermore we show that ensuremath chi 2 and inverse ensuremath chi 2 superstatistics with degree 2 are closely related to an extreme value distribution called the gumbel distribution in these cases the corresponding superstatistical distributions result in the q gaussian distribution with q 5 3 and the bilateral exponential distribution respectively thus our finding provides a hypothesis that the asymptotic appearance of these two special distributions may be explained by a link with the asymptotic limit distributions involving extreme values in addition as an application of our approach we demonstrated that non gaussian fluctuations observed in a stock index futures market can be well approximated by the ensuremath chi 2 superstatistical distribution with degree 2

universal tail profile of gaussian multiplicative chaos in this article we study the tail probability of the mass of gaussian multiplicative chaos with the novel use of a tauberian argument and goldie s implicit renewal theorem we provide a unified approach to general log correlated gaussian fields in arbitrary dimension and derive precise first order asymptotics of the tail probability resolving a conjecture of rhodes and vargas the leading order is described by a universal constant that captures the generic property of gaussian multiplicative chaos and may be seen as the analogue of the liouville unit volume reflection coefficients in higher dimensions

non extensive behavior of a stock market index at microscopic time scales abstract this paper presents an empirical investigation of the intraday brazilian stock market price fluctuations considering q gaussian distributions that emerge from a non extensive statistical mechanics our results show that when price returns are measured over intervals less than one hour the empirical distributions are well fitted by q gaussians with exponential damped tails scaling behavior is also observed for these microscopic time intervals we find that the time evolution of the return distributions is according to a super diffusive q gaussian stationary process within a nonlinear fokker planck equation this regime breaks down due to the exponential fall off of the tails which in turn governs the transient dynamics to the long term macroscopic gaussian regime this exponentially damped non extensive modeling provides a new framework to investigate the dynamics of other stock markets intraday price fluctuations

k homology and k theory for the lamplighter groups of finite groups let f be a finite group we consider the lamplighter group l f z over f we prove that l has a classifying space for proper actions el which is a complex of dimension 2 we use this to give an explicit proof of the baum connes conjecture without coefficients that states that the assembly map il kil el ki c l i 0 1 is an isomorphism actually k0 c l is free abelian of countable rank with an explicit basis consisting of projections in c l while k1 c l is infinite cyclic generated by the unitary of c l implementing the shift finally we show that for f abelian the c algebra c l is completely characterized by f up to isomorphism

scale invariance and universality organizing principles in complex systems this paper is a brief summary of a talk that was designed to address the question of whether two of the pillars of the eld of phase transitions and critical phenomena scale invariance and universality can be useful in guiding research on a broad class of complex phenomena we shall see that while scale invariance has been tested for many years universality is relatively more rarely discussed in particular we shall develop a heuristic argument that serves to make more plausible the universality hypothesis in both thermal critical phenomena and percolation phenomena and suggest that this argument could be developed into a possible coherent approach to understanding the ubiquity of scale invariance and universality in a wide range of complex systems c 2000 elsevier science b v all rights reserved

time dependent hurst exponent in financial time series abstract we calculate the hurst exponent h t of several time series by dynamical implementation of a recently proposed scaling technique the detrending moving average dma in order to assess the accuracy of the technique we calculate the exponent h t for artificial series simulating monofractal brownian paths with assigned hurst exponents h we next calculate the exponent h t for the return of high frequency tick by tick sampled every minute series of the german market we find a much more pronounced time variability in the local scaling exponent of financial series compared to the artificial ones the dma algorithm allows the calculation of the exponent h t without any a priori assumption on the stochastic process and on the probability distribution function of the random variables as happens for example in the case of the kitagawa grid and the extended kalmann filtering methods the present technique examines the local scaling exponent h t around a given instant of time this is a significant advance with respect to the standard wavelet transform or to the higher order power spectrum technique which instead operate on the global properties of the series by legendre or fourier transform of qth order moments

autocorrelation and cross correlation in time series of homicide and attempted homicide abstract we propose in this paper to establish the relationship between homicides and attempted homicides by a non stationary time series analysis this analysis will be carried out by detrended fluctuation analysis dfa detrended cross correlation analysis dcca and dcca cross correlation coefficient d c c a n through this analysis we can identify a positive cross correlation between homicides and attempted homicides at the same time looked at from the point of view of autocorrelation dfa this analysis can be more informative depending on time scale for short scale days we cannot identify auto correlations on the scale of weeks dfa presents anti persistent behavior and for long time scales n 90 days dfa presents a persistent behavior finally the application of this new type of statistical analysis proved to be efficient and in this sense this paper can contribute to a more accurate descriptive statistics of crime

une relation entre diametre extrinseque integrale de la courbure de gauss et inradius pour les hypersurfaces localement convexes d un espace euclidien

liouville metric of star scale invariant fields tails and weyl scaling we study the liouville metric associated to an approximation of a log correlated gaussian field with short range correlation we show that below a parameter gamma c 0 the left right length of rectangles for the riemannian metric e gamma phi 0 n ds 2 with various aspect ratio is concentrated with quasi lognormal tails that the renormalized metric is tight when gamma min gamma c 0 4 and that subsequential limits are consistent with the weyl scaling

multiscale multifractal dcca and complexity behaviors of return intervals for potts price model abstract to investigate the characteristics of extreme events in financial markets and the corresponding return intervals among these events we use a potts dynamic system to construct a random financial time series model of the attitudes of market traders we use multiscale multifractal detrended cross correlation analysis mm dcca and lempel ziv complexity lzc perform numerical research of the return intervals for two significant china s stock market indices and for the proposed model the new mm dcca method is based on the hurst surface and provides more interpretable cross correlations of the dynamic mechanism between different return interval series we scale the lzc method with different exponents to illustrate the complexity of return intervals in different scales empirical studies indicate that the proposed return intervals from the potts system and the real stock market indices hold similar statistical properties

multifractal detrended cross correlation analysis of sunspot numbers and river flow fluctuations abstract we use the detrended cross correlation analysis dcca to investigate the influence of sun activity represented by sunspot numbers on one of the climate indicators specifically rivers represented by river flow fluctuation for daugava holston nolichucky and french broad rivers the multifractal detrended cross correlation analysis mf dxa shows that there exist some crossovers in the cross correlation fluctuation function versus time scale of the river flow and sunspot series one of these crossovers corresponds to the well known cycle of solar activity demonstrating a universal property of the mentioned rivers the scaling exponent given by dcca for original series at intermediate time scale 12 24 s 130 months is 1 17 0 04 which is almost similar for all underlying rivers at 1 confidence interval showing the second universal behavior of river runoffs to remove the sinusoidal trends embedded in data sets we apply the singular value decomposition svd method our results show that there exists a long range cross correlation between the sunspot numbers and the underlying streamflow records the magnitude of the scaling exponent and the corresponding cross correlation exponent are 0 76 0 85 and 0 30 0 48 respectively different values for scaling and cross correlation exponents may be related to local and external factors such as topography drainage network morphology human activity and so on multifractal cross correlation analysis demonstrates that all underlying fluctuations have almost weak multifractal nature which is also a universal property for data series in addition the empirical relation between scaling exponent derived by dcca and detrended fluctuation analysis dfa h sun h river 2 is confirmed

maximum of the characteristic polynomial of the ginibre ensemble we compute the leading asymptotics for the maximum of the centered logarithm of the absolute value of the characteristic polynomial denoted psi n of the ginibre ensemble as the dimension of the random matrix n tends to infty the method relies on the log correlated structure of the field psi n and we obtain the lower bound for the maximum by constructing a family of gaussian multiplicative chaos measures associated with certain regularization of psi n at small mesoscopic scales we also obtain the leading asymptotics for the dimensions of the sets of thick points and verify that they are consistent with the predictions coming from the gaussian free field a key technical input is the approach from ameur et al ann probab 43 3 1157 1201 2015 to derive the necessary asymptotics as well as the results from webb and wong proc lond math soc 3 118 5 1017 1056 2019

financial volatility and independent and identically distributed variables abstract given that financial series are poorly described by gaussian distributions how can the volatility behavior of such series be explained here we put forward a possible explanation to add the existing ones we focus on a class of reduced variables that are independent and identically distributed these variables together with an extra exponential law are able to explain the volatility of the intraday brazilian real us dollar exchange rate for the year 2002

minimum entropy density method for the time series analysis abstract the entropy density is an intuitive and powerful concept to study the complicated nonlinear processes derived from physical systems we develop the minimum entropy density method medm to detect the structure scale of a given time series which is defined as the scale in which the uncertainty is minimized hence the pattern is revealed most the medm is applied to the financial time series of standard and poor s 500 index from february 1983 to april 2006 then the temporal behavior of structure scale is obtained and analyzed in relation to the information delivery time and efficient market hypothesis

the convex hull property and topology of hypersurfaces with nonnegative curvature abstract we prove that in euclidean space any nonnegatively curved compact smoothly immersed hypersurface lies outside the convex hull of its boundary provided the boundary satisfies certain required conditions this gives a convex hull property dual to the classical one for surfaces with nonpositive curvature a version of this result in the nonsmooth category is obtained as well we show that our boundary conditions determine the topology of the surface up to at most two choices the proof is based on uniform estimates for radii of convexity of these surfaces under a clipping procedure a noncollapsing convergence theorem and a gluing procedure

statistical properties of the volatility of price fluctuations we study the statistical properties of volatility measured by locally averaging over a time window t the absolute value of price changes over a short time interval ensuremath delta t we analyze the s 500 stock index for the 13 year period jan 1984 to dec 1996 we find that the cumulative distribution of the volatility is consistent with a power law asymptotic behavior characterized by an exponent ensuremath mu ensuremath approx 3 similar to what is found for the distribution of price changes the volatility distribution retains the same functional form for a range of values of t further we study the volatility correlations by using the power spectrum analysis both methods support a power law decay of the correlation function and give consistent estimates of the relevant scaling exponents also both methods show the presence of a crossover at approximately 1 5 days in addition we extend these results to the volatility of individual companies by analyzing a data base comprising all trades for the largest 500 u s companies over the two year period jan 1994 to dec 1995

volatility of linear and nonlinear time series previous studies indicated that nonlinear properties of gaussian distributed time series with long range correlations u i can be detected and quantified by studying the correlations in the magnitude series ensuremath mid u i ensuremath mid the volatility however the origin for this empirical observation still remains unclear and the exact relation between the correlations in u i and the correlations in ensuremath mid u i ensuremath mid is still unknown here we develop analytical relations between the scaling exponent of linear series u i and its magnitude series ensuremath mid u i ensuremath mid moreover we find that nonlinear time series exhibit stronger or the same correlations in the magnitude time series compared with linear time series with the same two point correlations based on these results we propose a simple model that generates multifractal time series by explicitly inserting long range correlations in the magnitude series the nonlinear multifractal time series is generated by multiplying a long range correlated time series that represents the magnitude series with uncorrelated time series that represents the sign series mathrm sgn u i we apply our techniques on daily deep ocean temperature records from the equatorial pacific the region of the el nin o phenomenon and find i long range correlations from several days to several years with 1 f power spectrum ii significant nonlinear behavior as expressed by long range correlations of the volatility series and iii broad multifractal spectrum

economic fluctuations and statistical physics quantifying extremely rare and less rare events in finance one challenge of economics is that the systems treated by these sciences have no perfect metronome in time and no perfect spatial architecture crystalline or otherwise nonetheless as if by magic out of nothing but randomness one finds remarkably fine tuned processes in time we present an overview of recent research joining practitioners of economic theory and statistical physics to try to better understand puzzles regarding economic fluctuations one of these puzzles is how to describe outliers phenomena that lie outside of patterns of statistical regularity we review evidence consistent with the possibility that such outliers may not exist this possibility is supported by recent analysis of databases containing information about each trade of every stock r 2007 elsevier b v all rights reserved

scaling exponents and multifractal dimensions for independent random cascades this paper is concerned with mandelbrot s stochastic cascade measures the problems of i scaling exponents of structure functions of the measure q and ii multifractal dimensions are considered for cascades with a generator vector w1 wc of the general type these problems were previously studied for independent strongly bounded variableswi 0 a wi c consequently a broad class of models used in applications including kolmogorov s long normal model in turbulence long stable universal cascades in atmospheric dynamics has not been covered roughly speaking problems i ii are here solved under the condition that the scaling exists the function is calculated for all arguments previously this was done for positiveq and a new effect emerges the function can generally involve discontinuities in the first derivative as well as in the second

c algebras of real rank zero abstract the concept of real rank of a c algebra is introduced as a non commutative analogue of dimension it is shown that real rank zero is equivalent to the previously defined conditions fs and hp and that it is invariant under strong morita equivalence in particular under stable isomorphism real rank zero is also invariant under inductive limits and split extensions and the class may well be regarded as the conceptual completion of the af algebras in some cases notably when the algebra is matroid it is shown that the multiplier algebra also has real rank zero although that is not true in general by a result of g j murphy this implies a weyl von neumann type result for self adjoint multiplier elements in these cases

the relation between the baum connes conjecture and the trace conjecture we prove a version of the l2 index theorem of atiyah which uses the universal center valued trace instead of the standard trace we construct for g equivariant k homology an equivariant chern character which is an isomorphism and lives over the ring g obtained from the integers by inverting the orders of all finite subgroups of g we use these two results to show that the baum connes conjecture implies the modified trace conjecture which says that the image of the standard trace k0 c r g takes values in g the original trace conjecture predicted that its image lies in the additive subgroup of generated by the inverses of all the orders of the finite subgroups of g and has been disproved by roy 15

a quantum anharmonic oscillator model for the stock market abstract a financially interpretable quantum model is proposed to study the probability distributions of the stock price return the dynamics of a quantum particle is considered an analog of the motion of stock price then the probability distributions of price return can be computed from the wave functions that evolve according to schrodinger equation instead of a harmonic oscillator in previous studies a quantum anharmonic oscillator is applied to the stock in liquid market the leptokurtic distributions of price return can be reproduced by our quantum model with the introduction of mixed state and multi potential the trend following dominant market in which the price return follows a bimodal distribution is discussed as a specific case of the illiquid market

non poisson intermittent events in price formation in a ising spin model of market abstract the formation of price in a financial market is modelled as a chain of ising spin with three fundamental figures of trading we investigate the time behaviour of the model and we compare the results with the real euro usd change rate by using the test of local poisson hypothesis we show that this minimal model leads to clustering and declustering in the volatility signal typical of the real market data

power law of quiet time distribution in the korean stock market abstract we report the quiet time probability distribution of the absolute return in the korean stock market index we define the quiet time as a time interval during the absolute return of the stock index that are above a threshold r c through an exponential bin plot we observe that the quiet time distribution qtd shows power law behavior p f t t for a range of threshold values the quiet time distribution has two scaling regimes separated by the crossover time t c 200 min the power law exponents of the quiet time distribution decrease when the return time t increases in the late time regime t t c the power law exponents are independent of the threshold within the error bars for the fixed return time the scaled qtd is characterized by a scaling function such as p f t 1 t f t t where the scaling function f x x 2 and t is the average quiet time the scaling exponents 2 depend on the return time t and are independent of the threshold r c the average quiet time follows the power law such as t r c where the exponents depend on the return time t

dimension and stable rank in the k theory of c algebras in topological k theory which can be viewed as the algebraic side of the theory of vector bundles some of the interesting properties which one investigates are for example the conditions under which bundles must possess trivial direct summands or the extent to which the cancellation property for direct whitney sums of bundles holds such properties turn out to be controlled in part by the dimension of the base space and results describing the nature of this control are among what are frequently called stability results 17 during the past few years there has been a sudden flowering of a theory for c algebras see surveys 35 36 37 since c algebras are profitably thought of as non commutative locally compact spaces with the finitely generated projective modules being the appropriate generalization of vector bundles according to swan s theorem 40 it would be natural to look for stability results for c algebras but until now the theory has been focussed on the c groups of c algebras and there has been little discussion of stability properties presumably in part for lack of an appropriate concept of dimension for c algebras one of the main objectives of this paper is to introduce a concept of dimension for c algebras which directly generalizes the classical concept of dimension for compact spaces 16 20 22 and to develop some techniques for calculating it notably for c algebras which are obtained as crossed product algebras for an action of the group of integers in algebraic k theory which is the generalization of topological c theory to rings a substantial number of stability properties have been discovered 2 39 42 48 within that theory the concept which has played a role most analogous to that of dimension is the bass stable rank but despite its many successes the bass stable rank has often been difficult to calculate even for relatively uncomplicated rings another main objective of the present paper is to make accessible for application to c algebras some of the stability results from algebraic c theory this comes about from the fact that the concept of dimension which we introduce dominates the bass stable rank i was led to seek stability results for c algebras by my desire to determine whether the cancellation property for projective modules holds for the irrational rotation c algebras discussed in 30 which as elliott 11 has suggested can appropriately be called 2 dimensional non commutative tori in more concrete terms the question is whether two projections in such an algebra which have the same trace must be unitarily equivalent the present paper provides the general theory which is needed for the affirmative answer which i obtained in a subsequent paper i will derive the

time varying hurst exponent for us stock markets abstract in this work the dynamical behavior of the us stock markets is characterized on the basis of the temporal variations of the hurst exponent estimated with detrended fluctuation analysis dfa over moving windows for the historical dow jones 1928 2007 and the s p 500 1950 2007 daily indices according to the results drawn i the hurst exponent displays an erratic dynamics with some episodes alternating low and high persistent behavior ii the major breakthrough of the long term trend of the scaling behavior occurred in 1972 at the end of the bretton woods system when the hurst exponent shifted form a positive to a negative long term trend other effects such as the 1987 crisis and the emergence of anti correlated behavior in the recent two years are also discussed

a stochastic model of human gait dynamics abstract we present a stochastic model of gait rhythm dynamics based on transitions between different neural centers that reproduces distinctive statistical properties of normal human walking by tuning one model parameter the transition hopping range the model can describe alterations in gait dynamics from childhood to adulthood including a decrease in the correlation and volatility exponents with maturation the model also generates time series with multifractal spectra whose broadness depends only on this parameter moreover we find that the volatility exponent increases monotonically as a function of the width of the multifractal spectrum suggesting the possibility of a change in multifractality with maturation

long memory volatility in derivative hedging abstract the aim of this work is to take into account the effects of long memory in volatility on derivative hedging this idea is an extension of the work by fedotov and tan stochastic long memory process in option pricing int j theor appl finance 8 2005 381 392 where they incorporate long memory stochastic volatility in option pricing and derive pricing bands for option values the starting point is the stochastic black scholes hedging strategy which involves volatility with a long range dependence the stochastic hedging strategy is the sum of its deterministic term that is classical black scholes hedging strategy with a constant volatility and a random deviation term which describes the risk arising from the random volatility using the fact that stock price and volatility fluctuate on different time scales we derive an asymptotic equation for this deviation in terms of the green s function and the fractional brownian motion the solution to this equation allows us to find hedging confidence intervals

gaussian multiplicative chaos revisited in this article we extend the theory of multiplicative chaos for positive definite functions in rd of the form f x 2 ln t x g x where g is a continuous and bounded function the construction is simpler and more general than the one defined by kahane in 1985 as main application we give a rigorous mathematical meaning to the kolmogorov obukhov model of energy dissipation in a turbulent flow

the roles of mean residence time on herd behavior in a financial market abstract we investigate the herd behavior of stock prices in a finance system with the heston model based on parameter estimation of the heston model obtained by minimizing the mean square deviation between the theoretical and empirical return distributions we simulate mean residence time of positive return mrtpr plots of mrtpr against the amplitude or mean reversion of volatility demonstrate a phenomenon of herd behavior for a positive cross correlation between noise sources of the heston model also for a negative cross correlation a phenomenon of herd behavior is observed in plots of mrtpr against the long run variance by increasing amplitude or mean reversion of volatility

relaxation dynamics of aftershocks after large volatility shocks in the ssec index abstract the relaxation dynamics of aftershocks after large volatility shocks are investigated based on two high frequency data sets of the shanghai stock exchange composite ssec index compared with previous relevant work we have defined main financial shocks based on large volatilities rather than large crashes we find that the occurrence rate of aftershocks with the magnitude exceeding a given threshold for both daily volatility constructed using 1 minute data and minutely volatility using intra minute data decays as a power law the power law relaxation exponent increases with the volatility threshold and is significantly greater than 1 taking financial volatility as the counterpart of seismic activity the power law relaxation in financial volatility deviates remarkably from the omori law in geophysics

a glimpse of the conformal structure of random planar maps we present a way to study the conformal structure of random planar maps the main idea is to explore the map along an sle schramm loewner evolution process of parameter kappa 6 and to combine the locality property of the sle6 together with the spatial markov property of the underlying lattice in order to get a non trivial geometric information we follow this path in the case of the conformal structure of random triangulations with a boundary

cross correlations between volume change and price change in finance one usually deals not with prices but with growth rates r defined as the difference in logarithm between two consecutive prices here we consider not the trading volume but rather the volume growth rate r the difference in logarithm between two consecutive values of trading volume to this end we use several methods to analyze the properties of volume changes r and their relationship to price changes r we analyze 14 981 daily recordings of the standard and poor s s p 500 index over the 59 year period 1950 2009 and find power law cross correlations between r and r by using detrended cross correlation analysis dcca we introduce a joint stochastic process that models these cross correlations motivated by the relationship between r and r we estimate the tail exponent of the probability density function p r r 1 for both the s p 500 index as well as the collection of 1819 constituents of the new york stock exchange composite index on 17 july 2009 as a new method to estimate we calculate the time intervals q between events where r q we demonstrate that q the average of q obeys q q we find 3 furthermore by aggregating all q values of 28 global financial indices we also observe an approximate inverse cubic law

minority games with score dependent and agent dependent payoffs score dependent and agent dependent payoffs of the strategies are introduced into the standard minority game the intrinsic periodicity is consequently removed and the stylized facts arise such as long range volatility correlations and fat tails in the distribution of the returns the agent dependence of the payoffs is essential in producing the long range volatility correlations the new payoffs lead to a better performance in the dynamic behavior nonlocal in time and can coexist with the inactive strategy we also observe that the standard deviation ensuremath sigma 2 n is significantly reduced thus the efficiency of the system is distinctly improved based on this observation we give a qualitative explanation for the long range volatility correlations

time evolution of stochastic processes with correlations in the variance stability in power law tails of distributions abstract we model the time series of the s p500 index by a combined process the ar garch process where ar denotes the autoregressive process which we use to account for the short range correlations in the index changes and garch denotes the generalized autoregressive conditional heteroskedastic process which takes into account the long range correlations in the variance we study the ar garch process with an initial distribution of truncated levy form we find that this process generates a new probability distribution with a crossover from a levy stable power law to a power law with an exponent outside the levy range beyond the truncation cutoff we analyze the sum of n variables of the ar garch process and find that due to the correlations the ar garch process generates a probability distribution which exhibits stable behavior in the tails for a broad range of values n a feature which is observed in the probability distribution of the s p500 index we find that this power law stability depends on the characteristic scale in the correlations we also find that inclusion of short range correlations through the ar process is needed to obtain convergence to a limiting gaussian distribution for large n as observed in the data

understanding the determinants of volatility clustering in terms of stationary markovian processes abstract volatility is a key variable in the modeling of financial markets the most striking feature of volatility is that it is a long range correlated stochastic variable i e its autocorrelation function decays like a power law for large time lags in the present work we investigate the determinants of such feature starting from the empirical observation that the exponent of a certain stock s volatility is a linear function of the average correlation of such stock s volatility with all other volatilities we propose a simple approach consisting in diagonalizing the cross correlation matrix of volatilities and investigating whether or not the diagonalized volatilities still keep some of the original volatility stylized facts as a result the diagonalized volatilities result to share with the original volatilities either the power law decay of the probability density function and the power law decay of the autocorrelation function this would indicate that volatility clustering is already present in the diagonalized un correlated volatilities we therefore present a parsimonious univariate model based on a non linear langevin equation that well reproduces these two stylized facts of volatility the model helps us in understanding that the main source of volatility clustering once volatilities have been diagonalized is that the economic forces driving volatility can be modeled in terms of a smoluchowski potential with logarithmic tails

information flow between ibovespa and constituent companies abstract we study the direction of information flow between ibovespa index and its constituent companies using the transfer entropy method we find stronger information transfer from individual stocks towards the composite index than in the opposite direction our results differ from those found for developed market where market index was identified as driving force indicating that the role of index increases with the maturity of the market

k theory for the tame c algebra of a separated graph abstract a separated graph is a pair e c consisting of a directed graph e and a set c v e 0 c v where each c v is a partition of the set of edges whose terminal vertex is v given a separated graph e c such that all the sets x c are finite the k theory of the graph c algebra c e c is known to be determined by the kernel and the cokernel of a certain map denoted by 1 c a e c from z c to z e 0 in this paper we compute the k theory of the tame graph c algebra o e c associated to e c which has been recently introduced by the authors letting denote the natural surjective homomorphism from c e c onto o e c we show that k 1 is a group isomorphism and that k 0 is a split monomorphism whose cokernel is a torsion free abelian group we also prove that this cokernel is a free abelian group when the graph e is finite and determine its generators in terms of a sequence of separated graphs e n c n n 1 naturally attached to e c on the way to showing our main results we obtain an explicit description of a connecting map arising in a six term exact sequence computing the k theory of an amalgamated free product and we also exhibit an explicit isomorphism between ker 1 c a e c and k 1 c e c

autocorrelation type timescale and statistical property in financial time series abstract earlier studies have documented that three types of autocorrelations exist in financial time series sign volatility and return autocorrelation in this paper we examine how each type of the above autocorrelations affects the statistical properties of financial time series and its role in maintaining such statistical properties using three different shuffling series that correspondingly destroy each type of autocorrelation upon different timescales we find that 1 the statistical properties of the shuffling series significantly vary from the original ones 2 volatility and return autocorrelations show greater impacts than sign autocorrelation 3 the effects on the statistical properties are intensified as time scale expands 4 the nonlinear component of autocorrelation is the major drive of the effect

similarities and differences between physics and economics in this opening talk we discuss some of the similarities between work being done by economists and by physicists seeking to contribute to economics we also mention some of the dierences in the approaches taken and justify these dierent approaches by developing the argument that by approaching the same problem from dierent points of view new results might emerge in particular we review some recent results for example the 1nding that there are two new universal scaling models in economics i the 3uctuation of price changes of any stock market is characterized by a pdf which is a simple power law with exponent 4 that extends over 10 2 standard deviations a factor of 10 8 on the y axis ii for a wide range of economic organizations the histogram that shows how size of organization is inversely correlated to 3uc tuations in size with an exponent 1 6 neither of these two new laws has a 1rm theoretical foundation we also discuss results that are reminiscent of phase transitions in spin systems where the divergent behavior of the response function at the critical point zero magnetic 1eld leads to large 3uctuations c 2001 published by elsevier science b v

correlation and network analysis of global financial indices random matrix theory rmt and network methods are applied to investigate the correlation and network properties of 20 financial indices the results are compared before and during the financial crisis of 2008 in the rmt method the components of eigenvectors corresponding to the second largest eigenvalue form two clusters of indices in the positive and negative directions the components of these two clusters switch in opposite directions during the crisis the network analysis uses the fruchterman reingold layout to find clusters in the network of indices at different thresholds at a threshold of 0 6 before the crisis financial indices corresponding to the americas europe and asia pacific form separate clusters on the other hand during the crisis at the same threshold the american and european indices combine together to form a strongly linked cluster while the asia pacific indices form a separate weakly linked cluster if the value of the threshold is further increased to 0 9 then the european indices france germany and the united kingdom are found to be the most tightly linked indices the structure of the minimum spanning tree of financial indices is more starlike before the crisis and it changes to become more chainlike during the crisis the average linkage hierarchical clustering algorithm is used to find a clearer cluster structure in the network of financial indices the cophenetic correlation coefficients are calculated and found to increase significantly which indicates that the hierarchy increases during the financial crisis these results show that there is substantial change in the structure of the organization of financial indices during a financial crisis

distribution of natural trends in long term correlated records a scaling approach we estimate the exceedance probability w x ensuremath alpha l that in a long term correlated gaussian distributed sub record of length l characterized by a fluctuation exponent ensuremath alpha between 0 5 and 1 5 a relative increase ensuremath delta ensuremath sigma t of size larger than x occurs where ensuremath delta is the total observed increase measured by linear regression and ensuremath sigma t is the standard deviation around the regression line we consider l between 500 and 2000 which is the typical length scale of monthly local and reconstructed annual global temperature records we use scaling theory to obtain an analytical expression for w x ensuremath alpha l from this expression we can determine analytically for a given confidence probability q the boundaries ifmmode pm else textpm fi x q ensuremath alpha l of the confidence interval in the presence of an external linear trend the total observed increase is the sum of the natural and the external increase an observed relative increase ensuremath delta ensuremath sigma t is considered unnatural when it is above x q ensuremath alpha l in this case the size of the external relative increase is bounded by ensuremath delta ensuremath sigma t ifmmode pm else textpm fi x q ensuremath alpha l we apply this approach to various global and local climate data and discuss the different results for the significance of the observed trends

detecting scaling in the period dynamics of multimodal signals application to parkinsonian tremor patients with parkinson s disease exhibit tremor involuntary movement of the limbs the frequency spectrum of tremor typically has broad peaks at harmonic frequencies much like that seen in other physical processes in general this type of harmonic structure in the frequency domain may be due to two possible mechanisms a nonlinear oscillation or a superposition of multiple independent modes of oscillation a broad peak spectrum generally indicates that a signal is semiperiodic with a fluctuating period these fluctuations may posses intrinsic order that can be quantified using scaling analysis we propose a method to extract the correlation scaling properties in the period dynamics of multimodal oscillations in order to distinguish between a nonlinear oscillation and a superposition of individual modes of oscillation the method is based on our finding that the information content of the temporal correlations in a fluctuating period of a single oscillator is contained in a finite frequency band in the power spectrum allowing for decomposition of modes by bandpass filtering our simulations for a nonlinear oscillation show that harmonic modes possess the same scaling properties in contrast when the method is applied to tremor records from patients with parkinson s disease the first two modes of oscillations yield different scaling patterns suggesting that these modes may not be simple harmonics as might be initially assumed

semiclassical limit of liouville field theory liouville field theory lft for short is a two dimensional model of random surfaces which is for instance involved in 2d string theory or in the description of the fluctuations of metrics in 2d liouville quantum gravity this is a probabilistic model that consists in weighting the classical free field action with an interaction term given by the exponential of a gaussian multiplicative chaos the main input of our work is the study of the semiclassical limit of the theory which is a prescribed asymptotic regime of lft of interest in physics literature see cite witten and references therein we derive exact formulas for the laplace transform of the liouville field in the case of flat metric on the unit disk with dirichlet boundary conditions as a consequence we prove that the liouville field concentrates on the solution of the classical liouville equation with explicit negative scalar curvature we also characterize the leading fluctuations which are gaussian and massive and establish a large deviation principle though considered as an ansatz in the whole physics literature it seems that it is the first rigorous probabilistic derivation of the semiclassical limit of lft on the other hand we carry out the same analysis when we further weight the liouville action with heavy matter operators this procedure appears when computing the n points correlation functions of lft

subcritical multiplicative chaos for regularized counting statistics from random matrix theory for an n times n haar distributed random unitary matrix u n we consider the random field defined by counting the number of eigenvalues of u n in a mesoscopic arc centered at the point u on the unit circle we prove that after regularizing at a small scale epsilon n 0 the renormalized exponential of this field converges as n to infty to a gaussian multiplicative chaos measure in the whole subcritical phase we discuss implications of this result for obtaining a lower bound on the maximum of the field we also show that the moments of the total mass converge to a selberg like integral and by taking a further limit as the size of the arc diverges we establish part of the conjectures in ostrovsky nonlinearity 29 2 426 464 2016 by an analogous construction we prove that the multiplicative chaos measure coming from the sine process has the same distribution which strongly suggests that this limiting object should be universal our approach to the l1 phase is based on a generalization of the construction in berestycki electron commun probab 22 27 12 2017 to random fields which are only asymptotically gaussian in particular our method could have applications to other random fields coming from either random matrix theory or a different context

on the scaling of the distribution of daily price fluctuations in the mexican financial market index abstract in this paper a statistical analysis of log return fluctuations of the ipc the mexican stock market index is presented a sample of daily data covering the period from 04 09 2000 04 09 2010 was analyzed and fitted to different distributions tests of the goodness of fit were performed in order to quantitatively asses the quality of the estimation special attention was paid to the impact of the size of the sample on the estimated decay of the distributions tail in this study a forceful rejection of normality was obtained on the other hand the null hypothesis that the log fluctuations are fitted to a stable levy distribution cannot be rejected at the 5 significance level

volatility cluster and herding stock markets can be characterized by fat tails in the volatility distribution clustering of volatilities and slow decay of their time correlations for an explanation models with several mechanisms and consequently many parameters as the lux marchesi model have been used we show that a simple herding model with only four parameters leads to a quantitative description of the data as a new type of data we describe the volatility cluster by the waiting time distribution which can be used successfully to distinguish between different models

continuity and estimates of the liouville heat kernel with applications to spectral dimensions the liouville brownian motion lbm recently introduced by garban rhodes and vargas and in a weaker form also by berestycki is a diffusion process evolving in a planar random geometry induced by the liouville measure m gamma formally written as m gamma dz e gamma x z gamma 2 mathbb e x z 2 2 dz gamma in 0 2 for a massive gaussian free field x it is an m gamma symmetric diffusion defined as the time change of the two dimensional brownian motion by the positive continuous additive functional with revuz measure m gamma in this paper we provide a detailed analysis of the heat kernel p t x y of the lbm specifically we prove its joint continuity a locally uniform sub gaussian upper bound of the form p t x y le c 1 t 1 log t 1 exp bigl c 2 x y beta wedge 1 t frac 1 beta 1 bigr for t in bigl 0 frac 1 2 bigr for each beta frac 1 2 gamma 2 2 and an on diagonal lower bound of the form p t x x ge c 3 t 1 bigl log t 1 bigr eta for t in 0 t eta x with t eta x in bigl 0 frac 1 2 bigr heavily dependent on x for each eta 18 for m gamma almost every x as applications we deduce that the pointwise spectral dimension equals 2 m gamma a e and that the global spectral dimension is also 2

long range correlation and predictability of chinese stock prices abstract it is well known that the price time series of an efficient market display a brownian motion in such a case the best prediction of a future price is the last known price thus no arbitrage is possible a real market is however possibly not perfectly efficient in this paper we apply an error back propagation neural network to tick by tick high frequency time series of chinese a share stock prices and try to predict their future values the performance of the predictions varies largely for different stocks in order to seek for the dependence of the performance we study the long range correlation lrc of the data by the conventional detrended fluctuation analysis dfa and its generalization the multifractal detrended fluctuation analysis mfdfa clear relevance between the performance and the lrc is observed the prediction is particularly good when the time series are strongly anti persistent

scaling and memory of intraday volatility return intervals in stock markets we study the return interval tau between price volatilities that are above a certain threshold q for 31 intraday data sets including the standard and poor s 500 index and the 30 stocks that form the dow jones industrial index for different threshold q the probability density function pq tau scales with the mean interval tau as formula see text similar to that found in daily volatilities since the intraday records have significantly more data points compared to the daily records we could probe for much higher thresholds and still obtain good statistics we find that the scaling function f x is consistent for all 31 intraday data sets in various time resolutions and the function is well approximated by the stretched exponential f x similar to e ax gamma with gamma 0 38 0 05 and a 3 9 0 5 which indicates the existence of correlations we analyze the conditional probability distribution pq tau tau0 for tau following a certain interval tau0 and find pq tau tau0 depends on tau0 which demonstrates memory in intraday return intervals also we find that the mean conditional interval tau tau0 increases with tau0 consistent with the memory found for pq tau tau0 moreover we find that return interval records in addition to having short term correlations as demonstrated by pq tau tau0 have long term correlations with correlation exponents similar to that of volatility records

the origin of fat tailed distributions in financial time series abstract a classic problem in physics is the origin of fat tailed distributions generated by complex systems we study the distributions of stock returns measured over different time lags we find that destroying all correlations without changing the 1 d distribution by shuffling the order of the daily returns causes the fat tails to almost vanish for 1 d we argue that the fat tails are caused by the well known long range volatility correlations that have already been systematically studied previously indeed destroying only sign correlations by shuffling the order of only the signs but not the absolute values of the daily returns allows the fat tails to persist for 1 d

intermittent process analysis with scattering moments scattering moments provide nonparametric models of random processes with stationary increments they are expected values of random variables computed with a nonexpansive operator obtained by iteratively applying wavelet transforms and modulus nonlinearities which preserves the variance first and second order scattering moments are shown to characterize intermittency and self similarity properties of multiscale processes scattering moments of poisson processes fractional brownian motions levy processes and multifractal random walks are shown to have characteristic decay the generalized method of simulated moments is applied to scattering moments to estimate data generating models numerical applications are shown on financial time series and on energy dissipation of turbulent flows

lognormal star scale invariant random measures in this article we consider the continuous analog of the celebrated mandelbrot star equation with lognormal weights mandelbrot introduced this equation to characterize the law of multiplicative cascades we show existence and uniqueness of measures satisfying the aforementioned continuous equation these measures fall under the scope of the gaussian multiplicative chaos theory developed by kahane in 1985 or possibly extensions of this theory as a by product we also obtain an explicit characterization of the covariance structure of these measures we also prove that qualitative properties such as long range independence or isotropy can be read off the equation

criticality and phase transition in stock price fluctuations we analyze the behavior of the u s s p 500 index from 1984 to 1995 and characterize the non gaussian probability density functions pdf of the log returns the temporal dependence of fat tails in the pdf of a ten minute log return shows a gradual systematic increase in the probability of the appearance of large increments on approaching black monday in october 1987 reminiscent of parameter tuning towards criticality on the occurrence of the black monday crash this culminates in an abrupt transition of the scale dependence of the non gaussian pdf towards scale invariance characteristic of critical behavior these facts suggest the need for revisiting the turbulent cascade paradigm recently proposed for modeling the underlying dynamics of the financial index to account for time varying phase transitionlike and scale invariant critical like behavior

quantifying economic fluctuations abstract this manuscript is a brief summary of a talk designed to address the question of whether two of the pillars of the field of phase transitions and critical phenomena scale invariance and universality can be useful in guiding research on interpreting empirical data on economic fluctuations using this conceptual framework as a guide we empirically quantify the relation between trading activity measured by the number of transactions n and the price change g t for a given stock over a time interval t t t we relate the time dependent standard deviation of price changes volatility to two microscopic quantities the number of transactions n t in t and the variance w2 t of the price changes for all transactions in t we find that the long ranged volatility correlations are largely due to those of n we then argue that the tail exponent of the distribution of n is insufficient to account for the tail exponent of p g x since n and w display only weak inter dependency our results show that the fat tails of the distribution p g x arises from w finally we review recent work on quantifying collective behavior among stocks by applying the conceptual framework of random matrix theory rmt rmt makes predictions for universal properties that do not depend on the interactions between the elements comprising the system and deviations from rmt provide clues regarding system specific properties we compare the statistics of the cross correlation matrix c whose elements cij are the correlation coefficients of price fluctuations of stock i and j against a random matrix having the same symmetry properties it is found that rmt methods can distinguish random and non random parts of c the non random part of c which deviates from rmt results provides information regarding genuine collective behavior among stocks we also discuss results that are reminiscent of phase transitions in spin systems where the divergent behavior of the response function at the critical point zero magnetic field leads to large fluctuations and we discuss a curious symmetry breaking a feature qualitatively identical to the behavior of the probability density of the magnetization for fixed values of the inverse temperature

multifractal random walk we introduce a class of multifractal processes referred to as multifractal random walks mrws to our knowledge it is the first multifractal process with continuous dilation invariance properties and stationary increments mrws are very attractive alternative processes to classical cascadelike multifractal models since they do not involve any particular scale ratio the mrws are indexed by four parameters that are shown to control in a very direct way the multifractal spectrum and the correlation structure of the increments we briefly explain how in the same way one can build stationary multifractal processes or positive random measures

e theory and kk theory for groups which act properly and isometrically on hilbert space a good deal of research in c algebra k theory in recent years has been devoted to the baum connes conjecture 3 which proposes a formula for the k theory of group c algebras that blends group homology with the representation theory of compact subgroups the conjecture has brought c algebra theory into close contact with manifold theory through its obvious similarity to the borel conjecture of surgery theory 9 31 and its links with the theory of positive scalar curvature 27 in addition there are points of contact with harmonic analysis particularly the tempered representation theory of semisimple groups although the proper relation between the baum connes conjecture and representation theory is not well understood the conjecture is most easily formulated for groups which are discrete and torsion free for such a group g there is a natural homomorphism

surfaces convexes fuchsiennes dans les espaces lorentziens a courbure constante we show existence and uniqueness of the equivariant isometric immersions of riemannian surfaces into lorentz space forms under conditions implying convexity when we impose that the associated representations leave a point invariant

statistical properties of trading volume of chinese stocks abstract the cumulative distribution of trading volume is investigated for chinese stocks different from the power law scaling of mature markets the distribution is well fitted by a stretched exponential function f x e x with the autocorrelation function and the detrended fluctuation analysis the long range autocorrelation of trading volume is revealed the conditional dependence of volume on volatility and the volume volatility cross correlation are studied and a positive long range correlation between volume and volatility is observed

multifractal geometry in stock market time series it has been recently noticed that time series of returns in stock markets are of multifractal multiscaling character in that context multifractality has been always evidenced by its statistical signature i e the scaling exponents associated to a related variable however a direct geometrical framework much more revealing about the underlying dynamics is possible in this paper we present the techniques allowing the multifractal decomposition we will show that there exists a particular fractal component the most singular manifold msm which contains the relevant information about the dynamics of the series it is possible to reconstruct the series at a given precision from the msm we analyze the dynamics of the msm which shows revealing features about the evolution of this type of series