INVESTIGADORES
ROSSO Osvaldo Anibal
artículos
Título:
Multifractal characterization of the stock market inefficiency using the Wavelet Leaders method
Autor/es:
A. FIGLIOLA; L. ZUNINO; E. SERRANO; O. A. ROSSO
Revista:
Advances and Applications in Statistical Sciences
Editorial:
Mili Publications
Referencias:
Año: 2010 vol. 2 p. 287 - 302
ISSN:
0974-6811
Resumen:
The multifractality degree in a set of developed and emerging stock market indices is studied using the Wavelet Leaders. Recently, by means of the Multifractal Detrended Fluctuation Analysis (MFDFA) it was showed that the multifractality degree can be used as a quantifier to characterize the stage of market development of world stock índices.In the present work, we estimate the multifractal spectrum of signals having self-similar behavior using the Wavelet Leaders approach and compare it with the results obtained using MFDFA method in the analysis of eighteen developed and fourteen emerging stock markets.
