{"title":"On the fractal self-organization of the financial time series","authors":"V. Hilarov","doi":"10.33847/2686-8296.4.1_6","DOIUrl":null,"url":null,"abstract":"Time series of five financial indexes daily returns were analyzed by means of multifractal and recurrence quantification analysis (RQA) methods. It is shown that a financial crisis in 2008 year is accompanied with the increase in determinism and fractal self-organization. Such regularity is noted as analogous to other nonlinear systems behavior in catastrophic situations. At the same time, the global Hürst coefficient is minimal during the crises instead of maximum for physical systems.","PeriodicalId":235278,"journal":{"name":"Journal of Digital Science","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2022-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Digital Science","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.33847/2686-8296.4.1_6","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
Time series of five financial indexes daily returns were analyzed by means of multifractal and recurrence quantification analysis (RQA) methods. It is shown that a financial crisis in 2008 year is accompanied with the increase in determinism and fractal self-organization. Such regularity is noted as analogous to other nonlinear systems behavior in catastrophic situations. At the same time, the global Hürst coefficient is minimal during the crises instead of maximum for physical systems.