Please use this identifier to cite or link to this item: https://ruomo.lib.uom.gr/handle/7000/518
Title: FINANCIAL MARKETS DURING HIGHLY ANXIOUS TIME: MULTIFRACTAL FLUCTUATIONS IN ASSET RETURNS
Authors: SIOKIS, FOTIOS M.
Type: Article
Subjects: FRASCATI::Social sciences::Economics and Business::Finance
Keywords: financial crisis
multifractality
Issue Date: 2017
Source: Fractals
Volume: 25
Issue: 03
First Page: 1750032
Abstract: Building on the notion that systems and in particular complex systems such as stock exchange markets reveal their structure better when they are under stress, we analyze the multifractal character and nonlinear properties of four major stock market indices during financial meltdowns by means of the multifractal detrended fluctuation analysis (MF-DFA). The three distinct financial crises under investigation are the Black Monday, the Dot-Com and the Great Recession. Scaling and Hurst exponents are derived as well as the singularity spectra. The results show that all indices exhibit strong multifractal properties. The complexity of the markets is higher under the Black Monday event revealed by the width of the singularity spectrum and the higher α0 parameter.
URI: https://doi.org/10.1142/S0218348X17500323
https://ruomo.lib.uom.gr/handle/7000/518
ISSN: 0218-348X
1793-6543
Other Identifiers: 10.1142/S0218348X17500323
Appears in Collections:Department of Balkan, Slavic & Oriental Studies

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