1. Science
  2. Publications
  3. Information Processing Systems
  4. 6(87)'2010
  5. Multifractal analysis of unstable financial time series

Multifractal analysis of unstable financial time series

L.O. Kirichenko, O.A. Kuzmina, S.G. Udovenko
Annotations languages:

Research of multifractal descriptions of unstable financial temporal rows is in-process conducted by the methods of multifractal detrended fluctuation analysis. The evaluation of the generalized Kherstindex of financial temporal rows before and after beginning of crisis allows to assert that the before crisis period of functioning of financial market is characterized the narrow range of vibrations of this index which is substantially increased after the beginning of crisis.
Keywords: multifractal analysis, generalized Kherst index, fluctuation analysis, financial temporal row, fractal structure of market, crisis