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Multifractal Financial Markets


Multifractal Financial Markets
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Multifractal Financial Markets


Multifractal Financial Markets
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Author : Yasmine Hayek Kobeissi
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-07-23

Multifractal Financial Markets written by Yasmine Hayek Kobeissi and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-07-23 with Business & Economics categories.


Multifractal Financial Markets ​explores appropriate models for estimating risk and profiting from market swings, allowing readers to develop enhanced portfolio management skills and strategies. Fractals in finance allow us to understand market instability and persistence. When applied to financial markets, these models produce the requisite amount of data necessary for gauging market risk in order to mitigate loss. This brief delves deep into the multifractal market approach to portfolio management through real-world examples and case studies, providing readers with the tools they need to forecast profound shifts in market activity.



Multifractal Detrended Analysis Method And Its Application In Financial Markets


Multifractal Detrended Analysis Method And Its Application In Financial Markets
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Author : Guangxi Cao
language : en
Publisher: Springer
Release Date : 2018-02-18

Multifractal Detrended Analysis Method And Its Application In Financial Markets written by Guangxi Cao and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-02-18 with Business & Economics categories.


This book collects high-quality papers on the latest fundamental advances in the state of Econophysics and Management Science, providing insights that address problems concerning the international economy, social development and economic security. This book applies the multi-fractal detrended class method, and improves the method with different filters. The authors apply those methods to a variety of areas: financial markets, energy markets, gold market and so on. This book is arguably a systematic research and summary of various kinds of multi-fractal detrended methods. Furthermore, it puts forward some investment suggestions on a healthy development of financial markets.



Multifractal Volatility


Multifractal Volatility
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Author : Laurent E. Calvet
language : en
Publisher: Academic Press
Release Date : 2008-10-13

Multifractal Volatility written by Laurent E. Calvet and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-10-13 with Business & Economics categories.


Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of Multifractal Volatility is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters. Presents a powerful new technique for forecasting volatility Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research



The Mis Behaviour Of Markets


The Mis Behaviour Of Markets
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Author : Benoit B. Mandelbrot
language : en
Publisher: Profile Books
Release Date : 2010-10-01

The Mis Behaviour Of Markets written by Benoit B. Mandelbrot and has been published by Profile Books this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-10-01 with Business & Economics categories.


This international bestseller, which foreshadowed a market crash, explains why it could happen again if we don't act now. Fractal geometry is the mathematics of roughness: how to reduce the outline of a jagged leaf or static in a computer connection to a few simple mathematical properties. With his fractal tools, Mandelbrot has got to the bottom of how financial markets really work. He finds they have a shifting sense of time and wild behaviour that makes them volatile, dangerous - and beautiful. In his models, the complex gyrations of the FTSE 100 and exchange rates can be reduced to straightforward formulae that yield a much more accurate description of the risks involved.



The Statistical Mechanics Of Financial Markets


The Statistical Mechanics Of Financial Markets
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Author : Johannes Voit
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-04-17

The Statistical Mechanics Of Financial Markets written by Johannes Voit and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-17 with Mathematics categories.


This textbook describes parallels between statistical physics and finance - both those established in the 100-year-long interaction between these disciplines, as well as new research results on capital markets. The random walk, well known in physics, is also the basic model in finance, upon which are built, for example, the Black--Scholes theory of option pricing and hedging, or methods of risk control using diversification. Here the underlying assumptions are discussed using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion. On this basis, new theories of derivative pricing and risk control can be formulated. Computer simulations of interacting agent models of financial markets provide insights into the origins of asset price fluctuations. Stock exchange crashes can be modelled in ways analogous to phase transitions and earthquakes. These models allow for predictions. This study edition has been updated with a presentation of several new and significant developments, e.g. the dynamics of volatility smiles and implied volatility surfaces, path integral approaches to option pricing, a new and accurate simulation scheme for options, multifractals, the application of nonextensive statistical mechanics to financial markets, and the minority game. Moreover, the book was scanned for and corrected from errors, both typographical and in presentation.



Testing For Multifractality Of Islamic Stock Markets


Testing For Multifractality Of Islamic Stock Markets
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Author : Foued Saâdaoui
language : en
Publisher:
Release Date : 2017

Testing For Multifractality Of Islamic Stock Markets written by Foued Saâdaoui and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.


Studying the power-law scaling of financial time series is a promising area of econophysics, which has often contributed to the understanding of the intricate features of the global markets. In this article, we examine the multifractality of some financial processes and the underlying formation mechanisms in the context of Islamic equity markets. The well-known Multifractal Detrended Fluctuation Analysis (MF-DFA) is used to investigate the self-similar properties of two Dow Jones Islamic Markets Indexes (DJIM). The results prove that both indexes exhibit multifractal properties. By discussing the sources of the multifractality, we find that it is related to the occurrence of extreme values, the long-range dependency of autocorrelations and the fat-tailed distribution of the returns. These results have several important implications for analysts and decision makers in modelling the dynamics of Islamic markets, thus recommending efficient asset allocation plans to investors dealing with Islamic equity markets.



Multi Fractal Spectral Analysis Of The 1987 Stock Market Crash


Multi Fractal Spectral Analysis Of The 1987 Stock Market Crash
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Author : Cornelis A. Los
language : en
Publisher:
Release Date : 2004

Multi Fractal Spectral Analysis Of The 1987 Stock Market Crash written by Cornelis A. Los and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.


The multifractal model of asset returns captures the volatility persistence of many financial time series. Its multifractal spectrum computed from wavelet modulus maxima lines provides the spectrum of irregularities in the distribution of market returns over time and thereby of the kind of uncertainty or randomness in a particular market. Changes in this multifractal spectrum display distinctive patterns around substantial market crashes or drawdowns. In other words, the kinds of singularities and the kinds of irregularity change in a distinct fashion in the periods immediately preceding and following major market drawdowns. This paper focuses on these identifiable multifractal spectral patterns surrounding the stock market crash of 1987. Although we are not able to find a uniquely identifiable irregularity pattern within the same market preceding different crashes at different times, we do find the same uniquely identifiable pattern in various stock markets experiencing the same crash at the same time. Moreover, our results suggest that all such crashes are preceded by a gradual increase in the weighted average of the values of the Lipschitz regularity exponents, under low dispersion of the multifractal spectrum. At a crash, this weighted average irregularity value drops to a much lower value, while the dispersion of the spectrum of Lipschitz exponents jumps up to a much higher level after the crash. Our most striking result, therefore, is that the multifractal spectra of stock market returns are not stationary. Also, while the stock market returns show a global Hurst exponent of slight persistence 0.5lt;Hlt;0.7, these spectra tend to be skewed towards anti-persistence in the returns.



Research On Volatility And Contagion Effect In Stock Market


Research On Volatility And Contagion Effect In Stock Market
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Author : Dexiang Mei
language : en
Publisher: Scientific Research Publishing, Inc. USA
Release Date : 2020-12-06

Research On Volatility And Contagion Effect In Stock Market written by Dexiang Mei and has been published by Scientific Research Publishing, Inc. USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-12-06 with Art categories.


The volatility has been one of the cores of the financial theory research, in addition to the stock markets is an important part of modern financial markets. Research on volatility and contagion effect in stock market is an important part of the theory of financial markets research. This book in-cludes the following four parts.



An Introduction To Wavelet Theory In Finance


An Introduction To Wavelet Theory In Finance
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Author : Francis In
language : en
Publisher: World Scientific
Release Date : 2013

An Introduction To Wavelet Theory In Finance written by Francis In and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Business & Economics categories.


This book offers an introduction to wavelet theory and provides the essence of wavelet analysis including Fourier analysis and spectral analysis; the maximum overlap discrete wavelet transform; wavelet variance, covariance, and correlation in a unified and friendly manner. It aims to bridge the gap between theory and practice by presenting substantial applications of wavelets in economics and finance. This book is the first to provide a comprehensive application of wavelet analysis to financial markets, covering new frontier issues in empirical finance and economics. The first chapter of this unique text starts with a description of the key features and applications of wavelets. After an overview of wavelet analysis, successive chapters rigorously examine the various economic and financial topics and issues that stimulate academic and professional research, including equity, interest swaps, hedges and futures, foreign exchanges, financial asset pricing, and mutual fund markets. This detail-oriented text is descriptive and designed purely for academic researchers and financial practitioners. It assumes no prior knowledge of econometrics and covers important topics such as portfolio asset allocation, asset pricing, hedging strategies, new risk measures, and mutual fund performance. Its accessible presentation is also suitable for post-graduates in a variety of disciplines applied economics, financial engineering, international finance, financial econometrics, and fund management. To facilitate the subject of wavelets, sophisticated proofs and mathematics are avoided as much as possible when applying the wavelet multiscaling method. To enhance the reader's understanding in practical applications of the wavelet multiscaling method, this book provides sample programming instruction backed by Matlab wavelet code.



A Model For Interevent Times With Long Tails And Multifractality In Human Communications


A Model For Interevent Times With Long Tails And Multifractality In Human Communications
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Author : Josep Perelló
language : en
Publisher:
Release Date : 2009

A Model For Interevent Times With Long Tails And Multifractality In Human Communications written by Josep Perelló and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.


Social, technological and economic time series are divided by events which are usually assumed to be random albeit with some hierarchical structure. It is well known that the interevent statistics observed in these contexts differs from the Poissonian profile by being long-tailed distributed with resting and active periods interwoven. Understanding mechanisms generating consistent statistics have therefore become a central issue. The approach we present is taken from the Continuous Time Random Walk formalism and represents an analytical alternative to models of non-trivial priority that have been recently proposed. Our analysis also goes one step further by looking at the multifractal structure of the interevent times of human decisions. We here analyze the inter-transaction time intervals of several financial markets. We observe that empirical data describes a subtle multifractal behavior. Our model explains this structure by taking the pausing-time density in the form of a superstatistics where the integral kernel quantifies the heterogeneous nature of the executed tasks. An stretched exponential kernel provides a multifractal profile valid for a certain limited range. A suggested heuristic analytical profile is capable of covering a broader region.