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Multifractal Analysis and Local Hoelder Exponents Approach to Detecting Stock Markets Crashes

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  • I. A. Agaev
  • Yu. A. Kuperin

Abstract

This paper is devoted to problem of detecting critical events at finiacial markets using methods of multifractal analysis. Namely, the local regularity of time-series is studied. As a result, one can find out a special behavior or signal of regularity before crashes. This spesial behaviour of local Hoelder exponents inherent in financial time series can be used in detecting critcal events or crashes at financial markets.

Suggested Citation

  • I. A. Agaev & Yu. A. Kuperin, 2004. "Multifractal Analysis and Local Hoelder Exponents Approach to Detecting Stock Markets Crashes," Papers cond-mat/0407603, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/0407603
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    References listed on IDEAS

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    1. Cornell, Bradford, 1977. "Spot rates, forward rates and exchange market efficiency," Journal of Financial Economics, Elsevier, vol. 5(1), pages 55-65, August.
    2. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    3. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    4. Michael Bleaney & Paul Mizen, 1996. "Nonlinearities in Exchange‐Rate Dynamics: Evidence from Five Currencies, 1973–94," The Economic Record, The Economic Society of Australia, vol. 72(216), pages 36-45, March.
    5. Benoit Mandelbrot & Adlai Fisher & Laurent Calvet, 1997. "A Multifractal Model of Asset Returns," Cowles Foundation Discussion Papers 1164, Cowles Foundation for Research in Economics, Yale University.
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    Cited by:

    1. Petr Hájek & Michal Střižík & Pavel Praks & Petr Kadeřábek, 2009. "Možnosti využití přístupu latentní sémantiky při předpovídání finančních krizí [Possibilities of Financial Crises Forecasting with Latent Semantic Indexing]," Politická ekonomie, Prague University of Economics and Business, vol. 2009(6), pages 754-768.
    2. DIAF, Sami & TOUMACHE, Rachid, 2013. "Multifractal Analysis of the Algerian Dinar - US Dollar exchange rate," MPRA Paper 50701, University Library of Munich, Germany.

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