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Journal Articles Physica A: Statistical Mechanics and its Applications Year : 2009

Empirical evidences of a common multifractal signature in economic, biological and physical systems

Abstract

Recent developments in the Microcanonical Multifractal Formalism have lead to a sensible improvement in the numerical techniques for the determination of the multifractal characteristics of real signals. With the aid of these techniques, we have found empirical evidences of a common multifractal signature in six very different systems, ranging from stock market time series to sea surface temperature records. These systems are not only found to be multifractal, but their singularity spectra are coincident. We propose an explanation of this striking coincidence in terms of a cascade process and analyze its consequences.
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inria-00438521 , version 1 (01-04-2011)

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Oriol Pont, Antonio Turiel, Conrad J. Perez-Vicente. Empirical evidences of a common multifractal signature in economic, biological and physical systems. Physica A: Statistical Mechanics and its Applications, 2009, 388 (10), pp.2025-2035. ⟨10.1016/j.physa.2009.01.041⟩. ⟨inria-00438521⟩

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