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Empirical evidences of a common multifractal signature in economic, biological and physical systems

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  • Pont, Oriol
  • Turiel, Antonio
  • Pérez-Vicente, Conrad J.

Abstract

Recent developments in microcanonical multifractal formalism have lead to a sensible improvement in the numerical techniques for the determination of the multifractal characteristics of real signals. With the aid of these techniques, we have found empirical evidence of a common multifractal signature in six very different systems, ranging from stock market time series to sea surface temperature records. These systems are not only found to be multifractal, but their singularity spectra are coincident. We propose an explanation of this striking coincidence in terms of a cascade process and analyze its consequences.

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  • Pont, Oriol & Turiel, Antonio & Pérez-Vicente, Conrad J., 2009. "Empirical evidences of a common multifractal signature in economic, biological and physical systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(10), pages 2025-2035.
    • Handle: RePEc:eee:phsmap:v:388:y:2009:i:10:p:2025-2035
    DOI: 10.1016/j.physa.2009.01.041
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    References listed on IDEAS

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    Cited by:

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