About: Modeling Financial Time Series: Multifractal Cascades and Rényi Entropy     Goto   Sponge   NotDistinct   Permalink

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  • We show that a number of realistic financial time series can be well mimicked by multiplicative multifractal cascade processes. The key observation is that the multi-scale behavior in financial progressions fits well the multifractal cascade scaling paradigm. Connections with Kolmogorov’s idea of multiplicative cascade of eddies in the well developed turbulence are briefly discussed. To put some flesh on a bare bones we compare volatility time series for S&P 500 stock index with a simulated multiplicative multifractal cascade processes. Qualitative agreement is surprisingly good. Salient issues, such as Codimension functions or Multifractal Diffusion analysis and its role in scaling identification are also discussed.
  • We show that a number of realistic financial time series can be well mimicked by multiplicative multifractal cascade processes. The key observation is that the multi-scale behavior in financial progressions fits well the multifractal cascade scaling paradigm. Connections with Kolmogorov’s idea of multiplicative cascade of eddies in the well developed turbulence are briefly discussed. To put some flesh on a bare bones we compare volatility time series for S&P 500 stock index with a simulated multiplicative multifractal cascade processes. Qualitative agreement is surprisingly good. Salient issues, such as Codimension functions or Multifractal Diffusion analysis and its role in scaling identification are also discussed. (en)
Title
  • Modeling Financial Time Series: Multifractal Cascades and Rényi Entropy
  • Modeling Financial Time Series: Multifractal Cascades and Rényi Entropy (en)
skos:prefLabel
  • Modeling Financial Time Series: Multifractal Cascades and Rényi Entropy
  • Modeling Financial Time Series: Multifractal Cascades and Rényi Entropy (en)
skos:notation
  • RIV/68407700:21340/14:00210668!RIV15-MSM-21340___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GCP402/12/J077), S
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
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  • 29797
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  • RIV/68407700:21340/14:00210668
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  • Multiplicative cascades; Rényi entropy; Multifractal volatility. (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [941B8C66D0C4]
http://linked.open...v/mistoKonaniAkce
  • Praha
http://linked.open...i/riv/mistoVydani
  • Berlin
http://linked.open...i/riv/nazevZdroje
  • Interdisciplinary Symposium on Complex Systems (Emergence, Complexity and Computation)
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
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http://linked.open...vavai/riv/projekt
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  • Jizba, Petr
  • Korbel, Jan
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
issn
  • 2194-7287
number of pages
http://bibframe.org/vocab/doi
  • 10.1007/978-3-642-45438-7_22
http://purl.org/ne...btex#hasPublisher
  • Springer-Verlag
https://schema.org/isbn
  • 978-3-642-45437-0
http://localhost/t...ganizacniJednotka
  • 21340
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