Multifractal Geometry in Stock Market Time Series - DSA External Course 2023

On 17 Apr, 2023 By admin 0 Comments

DSA External Course, 2023

This DSA ADS course is part of a series of courses that demonstrate how to use applied data science with high performance compute and high quality data to optimize decision making in real world investing / trading scenarios.

Discuss fractals.

Discuss multifractal (multiscaling) attributes of time series of returns in stock markets.

Introduce a direct geometrical framework in attempt to understand underlying market dynamics and time series.

Discuss techniques allowing the multifractal decomposition including the Most Singular Manifold (MSM), which contains the relevant information about the dynamics of the series: it is possible to reconstruct the series (at a given precision) from the MSM.

Analyze the dynamics of the MSM, which shows revealing features about the evolution of this type of series.

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