Work detail

Multifractal Analysis of Stock Market Prices

Author: Mgr. Kristýna Čechová
Year: 2013 - summer
Leaders: doc. 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.

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