金融市场的多重分形分析综述

IF 19 1区 物理与天体物理 Q1 PHYSICS, MULTIDISCIPLINARY Reports on Progress in Physics Pub Date : 2018-05-12 DOI:10.1088/1361-6633/ab42fb
Zhi-Qiang Jiang, Wen-Jie Xie, Wei‐Xing Zhou, D. Sornette
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引用次数: 197

摘要

多重分形在复杂的自然和社会经济系统中无处不在。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有力的工具。金融市场的多重分形分析与流体动力学湍流有着惊人的相似之处,多重分形的思想正是由此产生的。受此启发,金融市场的多重分形分析蓬勃发展,成为经济物理学的主要方向之一。本文综述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期的金融时间序列中多重分形存在的累积证据,并讨论了多重分形的来源。多重分形分析在量化市场无效率、支持风险管理和开发其他应用方面的有用性。最后讨论了多重分形分析有待解决的问题和进一步发展的方向。
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Multifractal analysis of financial markets: a review
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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来源期刊
Reports on Progress in Physics
Reports on Progress in Physics 物理-物理:综合
CiteScore
31.90
自引率
0.00%
发文量
45
审稿时长
6-12 weeks
期刊介绍: Reports on Progress in Physics is a highly selective journal with a mission to publish ground-breaking new research and authoritative invited reviews of the highest quality and significance across all areas of physics and related areas. Articles must be essential reading for specialists, and likely to be of broader multidisciplinary interest with the expectation for long-term scientific impact and influence on the current state and/or future direction of a field.
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