Time Series

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

DSA External Course, 2023

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.