Foreign Exchange Multivariate Multifractal Analysis - Archive ouverte HAL Accéder directement au contenu
Communication Dans Un Congrès Année : 2022

Foreign Exchange Multivariate Multifractal Analysis

Patrice Abry
Herwig Wendt
Marc Senneret
  • Fonction : Auteur
  • PersonId : 1058156
Laurent Jaffrès
  • Fonction : Auteur
  • PersonId : 1058157

Résumé

After Mandelbrot's seminal work, scale-free and multifractal temporal dynamics have been recognized as classical stylized facts for financial time series and massively documented. Multifractal analysis in finance has however mainly remained univariate (one time series at a time) when multivariate (or basket) properties are critical for financial applications. This is mostly due to a lack of theoretical foundations and practical tools for multivariate multifractal analysis. Expanding on a theoretically-grounded recently proposed multivariate multifractal formalism, the present work performs an original multivariate analysis for a basket of six Foreign Exchange rate time series. Beyond confirming multifractality for each component independently, the definition of cross-multifractalities amongst components is introduced, assessing cross-dependencies in temporal dynamics not already accounted for by cross-correlations. The key practical outcome is to show that, essentially, one same multifractal time governs jointly the temporal dynamics of all the Foreign Exchange time series studied here.
Fichier principal
Vignette du fichier
22EUSIPCO_MFMV_ForEx_final.pdf (1020.26 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-03735497 , version 2 (21-07-2022)
hal-03735497 , version 1 (13-11-2022)

Identifiants

  • HAL Id : hal-03735497 , version 2

Citer

Patrice Abry, Yannick Malevergne, Herwig Wendt, Stéphane Jaffard, Marc Senneret, et al.. Foreign Exchange Multivariate Multifractal Analysis. European Signal Processing Conference (EUSIPCO), European Association for Signal Processing (EURASIP), Aug 2022, Belgrade, Serbia. ⟨hal-03735497v2⟩
103 Consultations
137 Téléchargements

Partager

Gmail Facebook X LinkedIn More