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Multifractal analysis in finance: Extreme events, portfolio and risk management, and market complexity

Begin
End
Agency
GACR
Identification Code
GJ17-12386Y
Project Focus
teoretický
Project Type (EU)
other
Publications ÚTIA
Abstract
The project focuses on utilization of multifractal framework in finance and financial economics. Specifically, we focus on three main branches of research. First, we examine how occurrence of financial extreme events translates into multifractal properties of the time series. For this purpose, we utilize the cusp catastrophe theory and the log-periodic power-law model. Second, we study usefulness of the multifractal framework for portfolio and risk management. Specifically , we propose a portfolio construction method and adjustments to the Value-at-Risk methodology based on the multifractal correlation coefficient. We further study its relationship to copulas and quantile regression. And third, we study sources of multifractality given by financial markets structure and organization, represented by agent-based models.
Submitted by kristoufek on