講座名稱 | Multifractal analysis of financial markets: A review |
開設部門 | 統計與信息學院 |
時間地點 | 2018年11月14日10:00 A308 |
面向對象 | 全校 |
主講人 | 周煒星 |
講座類型 | 全校性學術講座 |
內容簡介 | 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. |
