英文标题：
《Multifractal analysis of financial markets》
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作者：
Zhi-Qiang Jiang (ECUST), Wen-Jie Xie (ECUST), Wei-Xing Zhou (ECUST),
Didier Sornette (ETH Zurich)
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最新提交年份：
2018
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英文摘要：
Multifractality is ubiquitously observed in complex natural and socioeconomic systems. Multifractal analysis provides powerful tools to understand the complex nonlinear nature of time series in diverse fields. Inspired by its striking analogy with hydrodynamic turbulence, from which the idea of multifractality originated, multifractal analysis of financial markets has bloomed, forming one of the main directions of econophysics. We review the multifractal analysis methods and multifractal models adopted in or invented for financial time series and their subtle properties, which are applicable to time series in other disciplines. We survey the cumulating evidence for the presence of multifractality in financial time series in different markets and at different time periods and discuss the sources of multifractality. The usefulness of multifractal analysis in quantifying market inefficiency, in supporting risk management and in developing other applications is presented. We finally discuss open problems and further directions of multifractal analysis.
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中文摘要：
多重分形在复杂的自然和社会经济系统中普遍存在。多重分形分析为理解时间序列在不同领域的复杂非线性性质提供了强有力的工具。受其与流体动力湍流的惊人类比的启发，金融市场的多重分形分析蓬勃发展，形成了经济物理学的主要方向之一。我们回顾了金融时间序列中采用或发明的多重分形分析方法和多重分形模型及其微妙的性质，这些方法和模型适用于其他学科的时间序列。我们调查了在不同市场和不同时间段的金融时间序列中存在多重分形的累积证据，并讨论了多重分形的来源。本文介绍了多重分形分析在量化市场效率、支持风险管理和开发其他应用方面的有用性。最后，我们讨论了多重分形分析的开放性问题和进一步的方向。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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