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Multifractal features of financial markets

Author

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  • Kim, Kyungsik
  • Yoon, Seong-Min

Abstract

We study the tick dynamical behavior of three assets in financial markets (the KOSPI, the won–dollar and yen–dollar exchange rates) using the rescaled range (R/S) analysis. The multifractal Hurst exponents with long-run memory effect can be obtained from those assets, and we discuss whether there exists the crossover or not for the Hurst exponents at characteristic time scales. Particularly, we find that the probability distribution of returns approaches to a Lorentz distribution, different from Gaussian properties.

Suggested Citation

  • Kim, Kyungsik & Yoon, Seong-Min, 2004. "Multifractal features of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 272-278.
    • Handle: RePEc:eee:phsmap:v:344:y:2004:i:1:p:272-278
    DOI: 10.1016/j.physa.2004.06.131
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    References listed on IDEAS

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    1. H. Takayasu & M. Takayasu & M. P. Okazaki & K. Marumo & T. Shimizu, 2000. "Fractal Properties in Economics," Papers cond-mat/0008057, arXiv.org, revised Aug 2000.
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