Institute of Information Theory and Automation

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

Agency: 
GACR
Identification Code: 
17-12386Y
Start: 
2017-01-01
End: 
2019-12-31
Project Focus: 
teoretický
Project Type (EU): 
other
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.
Publications ÚTIA: 
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2018-12-12 12:43