Table of Contents Author Guidelines Submit a Manuscript
Complexity
Volume 2018, Article ID 7015721, 13 pages
https://doi.org/10.1155/2018/7015721
Research Article

Dynamical Variety of Shapes in Financial Multifractality

1Complex Systems Theory Department, Institute of Nuclear Physics, Polish Academy of Sciences, ul. Radzikowskiego 152, 31-342 Kraków, Poland
2Faculty of Physics, Mathematics and Computer Science, Cracow University of Technology, ul. Warszawska 24, 31-155 Kraków, Poland
3Faculty of Mathematics and Natural Sciences, University of Rzeszów, ul. Pigonia 1, 35-310 Rzeszów, Poland

Correspondence should be addressed to Stanisław Drożdż; lp.ude.jfi@zdzord.walsinats

Received 16 March 2018; Revised 5 July 2018; Accepted 17 July 2018; Published 16 September 2018

Academic Editor: Lingzhong Guo

Copyright © 2018 Stanisław Drożdż et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

The concept of multifractality offers a powerful formal tool to filter out a multitude of the most relevant characteristics of complex time series. The related studies thus far presented in the scientific literature typically limit themselves to evaluation of whether a time series is multifractal, and width of the resulting singularity spectrum is considered a measure of the degree of complexity involved. However, the character of the complexity of time series generated by the natural processes usually appears much more intricate than such a bare statement can reflect. As an example, based on the long-term records of the S&P500 and NASDAQ—the two world-leading stock market indices—the present study shows that they indeed develop the multifractal features, but these features evolve through a variety of shapes, most often strongly asymmetric, whose changes typically are correlated with the historically most significant events experienced by the world economy. Relating at the same time the index multifractal singularity spectra to those of the component stocks that form this index reflects the varying degree of correlations involved among the stocks.