Financial multifractality and its subtleties:: an example of DAX

Detailed study of multifractal characteristics of the financial time series of asset values and of its returns is performed using a collection of the high-frequency Deutsche Aktienindex data. The tail index (alpha), the Renyi exponents based on the box counting algorithm for the graph (d(q)) and the generalized Hurst exponents (H-q) are computed in parallel for short and daily return times. The results indicate a more complicated nature of the stock market dynamics than just consistent multifractal. (C) 2002 Elsevier Science B.V. All rights reserved.