Multifractal nature of stock exchange prices
The multifractal structure of the temporal dependence of the Deutsche Aktienindex (DAX) is analyzed. The qth order moments of the structure functions and the singular measures are calculated. The generalized Hurst exponent H(q) and the h(gamma(q)) curve indicate a hierarchy of power law exponents. This approach leads to characterizing the nonstationarity and intermittency pertinent to such financial signals, indicating differences with turbulence data. A list of results on turbulence and financial markets is presented for asserting the analogy. (C) 2002 Elsevier Science B.V. All rights reserved.
time series analysis fractals