Multifractal Analysis of Stock Market Prices
| Author: | Mgr. Kristýna Čechová |
|---|---|
| Year: | 2013 - summer |
| Leaders: | prof. PhDr. Ladislav Krištoufek Ph.D. |
| Consultants: | |
| Work type: | Economic Theory Masters |
| Language: | English |
| Pages: | 81 |
| Awards and prizes: | M.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance. |
| Link: | |
| Abstract: | The aim of this thesis is to provide an empirical evidence of multifractality in nancial time series and to discuss the relevance of this concept for the current nancial theory. We have applied two methods, the Multifractal Detrended Fluctuation analysis and the Generalized Hurst exponent method, on components of the Dow Jones Industrial Average. We analyzed daily data of 30 companies traded on U.S. stock markets from 2002 to 2012. We present results supporting presence of multiscaling in open-close returns. Contrary to published literature, we were not able to nd any signi cant multiscaling in volatility. Moreover based on our analysis, multiscaling is not present in standardized returns and as multifractality requires relatively complicated models, this is our most valuable result. |
