Wavelet Transform Modulus Maxima Approach for World Stock Index Multifractal Analysis

2012
Andrejs Pučkovs, Andrejs Matvejevs

This paper describes an approach that is able to fix difference in multifractal behaviour of various World Stock Indexes. The approach is beneficial for the forecasting and simulations of the most European and Asian stock indexes. Multifractal analysis is provided using the so-called Wavelet Transform Modulus Maxima approach, which involves two basic aspects: Wavelet aspect (Direct Continuous Wavelet Transform, Skeleton construction) and Multifractal formalism (Fractal Partition Function calculation, Moment Generating Function calculation, Multifractal Spectrum estimation).

Atslēgas vārdi
Wavelet Transform Modulus Maxima approach, Direct Continuous Wavelet Transform, Skeleton, Multifractal formalism, Fractal Partition Function, Moment Generating Function, Multifractal Spectrum, Stock indexes

Pučkovs, A., Matvejevs, A. Wavelet Transform Modulus Maxima Approach for World Stock Index Multifractal Analysis. Information Technology and Management Science. Nr.15, 2012, 76.-86.lpp. ISSN 2255-9086. e-ISSN 2255-9094.

Publikācijas valoda
English (en)