Stock Indexes Multifractal Analysis

Журнал научных публикаций аспирантов и докторантов 2012
Andrejs Pučkovs

This article is dedicated for Stock indexes multifractal analysis using so called Wavelet Transform Modulus Maxima (WTMM) approach. This approach is narrated in articles: “Wavelet analysis in Wavelet Transform Modulus Maxima Approach” and “Multifractal formalism in Wavelet Transform Modulus Maxima Approach”. In current research stock index multifractal analysis is done. Objects of experiments are 12 world stock indexes. In current research indexes typical fractal measures are discovered, as well as fractal measure fuzziness. Estimated Multifractal Spectrums are analyzed in crosscorrelation matrix using Pearson correlation coefficients.

Keywords
Stock indexes, multifractal analysis, Wavelet analysis in Wavelet Transform Modulus Maxima Approach, Continuous Wavelet Transform, Local maxima lines, Thermodynamics Partition Function, Local Scaling Exponent, Multifractal spectrum
Hyperlink
http://jurnal.org/articles/2012/ekon54.html

Pučkovs, A. Stock Indexes Multifractal Analysis. Журнал научных публикаций аспирантов и докторантов, 2012, No. 7, pp.28-34. ISSN 1991-3087.

Publication language
English (en)