IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v344y2004i1p272-278.html
   My bibliography  Save this article

Multifractal features of financial markets

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437104009483
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
    File URL: https://libkey.io/10.1016/j.physa.2004.06.131?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    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.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Arthur Matsuo Yamashita Rios de Sousa & Hideki Takayasu & Misako Takayasu, 2017. "Detection of statistical asymmetries in non-stationary sign time series: Analysis of foreign exchange data," PLOS ONE, Public Library of Science, vol. 12(5), pages 1-18, May.
    2. Aiba, Yukihiro & Hatano, Naomichi & Takayasu, Hideki & Marumo, Kouhei & Shimizu, Tokiko, 2003. "Triangular arbitrage and negative auto-correlation of foreign exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 253-257.
    3. Sornette, Didier, 2001. "Fokker–Planck equation of distributions of financial returns and power laws," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 290(1), pages 211-217.
    4. Ohnishi, Takaaki & Mizuno, Takayuki & Aihara, Kazuyuki & Takayasu, Misako & Takayasu, Hideki, 2004. "Statistical properties of the moving average price in dollar–yen exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 207-210.
    5. Norouzzadeh, P. & Rahmani, B., 2006. "A multifractal detrended fluctuation description of Iranian rial–US dollar exchange rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 328-336.
    6. Aiba, Yukihiro & Hatano, Naomichi & Takayasu, Hideki & Marumo, Kouhei & Shimizu, Tokiko, 2002. "Triangular arbitrage as an interaction among foreign exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 310(3), pages 467-479.
    7. Ohira, Toru & Sazuka, Naoya & Marumo, Kouhei & Shimizu, Tokiko & Takayasu, Misako & Takayasu, Hideki, 2002. "Predictability of currency market exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 308(1), pages 368-374.
    8. T. Mizuno & T. Watanabe, 2010. "A statistical analysis of product prices in online markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 76(4), pages 501-505, August.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:344:y:2004:i:1:p:272-278. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.