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Coupled uncertainty provided by a multifractal random walker

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  • Z. Koohi Lai
  • S. Vasheghani Farahani
  • S. M. S. Movahed
  • G. R. Jafari

Abstract

The aim here is to study the concept of pairing multifractality between time series possessing non-Gaussian distributions. The increasing number of rare events creates "criticality". We show how the pairing between two series is affected by rare events, which we call "coupled criticality". A method is proposed for studying the coupled criticality born out of the interaction between two series, using the bivariate multifractal random walk (BiMRW). This method allows studying dependence of the coupled criticality on the criticality of each individual system. This approach is applied to data sets of gold and oil markets, and inflation and unemployment.

Suggested Citation

  • Z. Koohi Lai & S. Vasheghani Farahani & S. M. S. Movahed & G. R. Jafari, 2015. "Coupled uncertainty provided by a multifractal random walker," Papers 1510.03040, arXiv.org.
    • Handle: RePEc:arx:papers:1510.03040
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    File URL: http://arxiv.org/pdf/1510.03040
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    Cited by:

    1. Reza Hosseini & Samin Tajik & Zahra Koohi Lai & Tayeb Jamali & Emmanuel Haven & G. Reza Jafari, 2022. "Quantum Bohmian Inspired Potential to Model Non-Gaussian Events and the Application in Financial Markets," Papers 2204.11203, arXiv.org.

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