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Multifractal analysis of stock exchange crashes

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  • Siokis, Fotios M.

Abstract

We analyze the complexity of rare events of the DJIA Index. We reveal that the returns of the time series exhibit strong multifractal properties meaning that temporal correlations play a substantial role. The effect of major stock market crashes can be best illustrated by the comparison of the multifractal spectra of the time series before and after the crash. Aftershock periods compared to foreshock periods exhibit richer and more complex dynamics. Compared to an average crash, calculated by taking into account the larger 5 crashes of the DJIA Index, the 1929 event exhibits significantly more increase in multifractality than the 1987 crisis.

Suggested Citation

  • Siokis, Fotios M., 2013. "Multifractal analysis of stock exchange crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(5), pages 1164-1171.
    • Handle: RePEc:eee:phsmap:v:392:y:2013:i:5:p:1164-1171
    DOI: 10.1016/j.physa.2012.11.023
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    2. Cao, Guangxi & Han, Yan & Cui, Weijun & Guo, Yu, 2014. "Multifractal detrended cross-correlations between the CSI 300 index futures and the spot markets based on high-frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 308-320.
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    5. Xing, Yani & Wang, Jun, 2019. "Statistical volatility duration and complexity of financial dynamics on Sierpinski gasket lattice percolation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 234-247.
    6. Hasan, Rashid & Mohammed Salim, M., 2017. "Power law cross-correlations between price change and volume change of Indian stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 620-631.
    7. Zebende, G.F. & da Silva, M.F. & Machado Filho, A., 2013. "DCCA cross-correlation coefficient differentiation: Theoretical and practical approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(8), pages 1756-1761.
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    9. Ji, Qiangbiao & Zhang, Xin & Zhu, Yingming, 2020. "Multifractal analysis of the impact of US–China trade friction on US and China soy futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).

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