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Statements

Subject Item
n2:RIV%2F68407700%3A21340%2F14%3A00210668%21RIV15-MSM-21340___
rdf:type
n9:Vysledek skos:Concept
dcterms:description
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.
dcterms:title
Modeling Financial Time Series: Multifractal Cascades and Rényi Entropy Modeling Financial Time Series: Multifractal Cascades and Rényi Entropy
skos:prefLabel
Modeling Financial Time Series: Multifractal Cascades and Rényi Entropy Modeling Financial Time Series: Multifractal Cascades and Rényi Entropy
skos:notation
RIV/68407700:21340/14:00210668!RIV15-MSM-21340___
n3:aktivita
n14:S n14:P
n3:aktivity
P(GCP402/12/J077), S
n3:dodaniDat
n13:2015
n3:domaciTvurceVysledku
n10:3976270 n10:7708114
n3:druhVysledku
n11:D
n3:duvernostUdaju
n21:S
n3:entitaPredkladatele
n8:predkladatel
n3:idSjednocenehoVysledku
29797
n3:idVysledku
RIV/68407700:21340/14:00210668
n3:jazykVysledku
n6:eng
n3:klicovaSlova
Multiplicative cascades; Rényi entropy; Multifractal volatility.
n3:klicoveSlovo
n16:Multiplicative%20cascades n16:R%C3%A9nyi%20entropy n16:Multifractal%20volatility.
n3:kontrolniKodProRIV
[941B8C66D0C4]
n3:mistoKonaniAkce
Praha
n3:mistoVydani
Berlin
n3:nazevZdroje
Interdisciplinary Symposium on Complex Systems (Emergence, Complexity and Computation)
n3:obor
n5:BA
n3:pocetDomacichTvurcuVysledku
2
n3:pocetTvurcuVysledku
2
n3:projekt
n18:GCP402%2F12%2FJ077
n3:rokUplatneniVysledku
n13:2014
n3:tvurceVysledku
Jizba, Petr Korbel, Jan
n3:typAkce
n12:EUR
n3:zahajeniAkce
2013-09-10+02:00
s:issn
2194-7287
s:numberOfPages
10
n15:doi
10.1007/978-3-642-45438-7_22
n20:hasPublisher
Springer-Verlag
n22:isbn
978-3-642-45437-0
n19:organizacniJednotka
21340