Evidence of a random multifractal turbulent structure in the Dow Jones Industrial Average

被引：32

作者：

Andreadis, I

Serletis, A ^{[1
]}

机构：

[1] Univ Calgary, Dept Econ, Calgary, AB T2N 1N4, Canada

[2] European Univ Hague, Ctr Management Studies, NL-2585 EC The Hague, Netherlands

来源：

CHAOS SOLITONS & FRACTALS | 2002年 / 13卷 / 06期

关键词：

D O I：

10.1016/S0960-0779(01)00138-2

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This paper uses over 18,000 daily observations on the Dow Jones Industrial Average (DJIA) (from 3 January 1928 to 18 October 2000) and various tests from statistics and dynamical systems theory to support a random multifractal turbulent structure for the US stock market. In particular, this structure is supported by J.C. Vassilicos, A. Demos and F. Tata [Fractals, Chaotic Behavior in Systems, 1994, 249] multifractal structure test and S. Ghashghaie, W. Breymann, J. Peinke, P. Talkner, Y. Dodge [Nature 381 (1996) 767] turbulent behavior test. (C) 2002 Elsevier Science Ltd. All rights reserved.

引用

页码：1309 / 1315

页数：7

共 17 条

[1]

Andreadis I, 2001, INT J SYST SCI, V32, P43, DOI 10.1080/00207720150210823

[2] Self-criticality and stochasticity of an S&P 500 index time series [J].