Multifractal behavior of financial time series

• Are there similarities between multifractals in different markets?

• Do price changes and volume changes in stock market indices have similar multifractal properties?

• Price changes are more complex and lack long-term correlations

-10 -8 -6 -4 -2 0 2 4 6 8 100.0

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S&P 500

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• Volume changes are less complex with anti-persistent long-term correlations

• Distinct multifractal regimes for price and volume changes?

Multifractal analysis of managed and independent float exchange rates

Questions:• Are there any distinct multifractal behaviors when transitioning from a managed to independent float regime?• If so, what do they represent?

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Australia

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New Zealand

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Answers:• transitions to independent float regimes indicate market efficiency• developed countries are more sensitive to changes in currency regimes

Multifractal analysis of managed and independent float exchange rates