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

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dc.creatorAgaev, I. A.
dc.creatorKuperin, Yu. A.
dc.date2004-07-22
dc.date.accessioned2026-07-07T12:06:59Z
dc.date.available2026-07-07T12:06:59Z
dc.descriptionThis 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.
dc.description8 pages, 4 figures
dc.identifierhttps://arxiv.org/abs/cond-mat/0407603
dc.identifierhttp://arxiv.org/abs/cond-mat/0407603
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208820
dc.subjectOther Condensed Matter
dc.subjectStatistical Finance
dc.titleMultifractal Analysis and Local Hoelder Exponents Approach to Detecting Stock Markets Crashes
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