Dynamical Variety of Shapes in Financial Multifractality

Figure 1

Main panels: multifractal spectra calculated for the S&P500 and NASDAQ returns (black dots) covering the period January 03, 1950–December 29, 2016. Average spectra obtained for the Fourier phase-randomized surrogates and for the randomly shuffled time series are denoted by blue squares and green triangles, respectively. Upper-left insets display cumulative distributions of return fluctuations, and lower-right insets display the fluctuation functions calculated for the original S&P500 and NASDAQ series.