On the multifractal properties and the local multifractality sensitivity index of euro to Japanese yen foreign currency exchange rates

Econophysics and sociophysics: Their milestones & challenges

“…The method proposed in [49,50,51] was successfully applied by many authors and well checked for European and non-European capital markets (see, e.g., [52,53,54,55,56,57,58]). Beside providing some intrinsic explanation of such major features of financial markets, the local DFA can be also used in a practical way, suggesting short term investment strategies to agents following some stocks far from a H = 1/2 values in order to optimize profits [59].…”

The high frequency multifractal properties of Bitcoin

“…This led Peters (1994) to coin the term Fractal Market Hypothesis (FMH) as an alternative to the Efficient Market Hypothesis (EMH), focusing on the scaling properties of the distribution of returns rather than informational efficiency, and as a consequence standard asset pricing and risk management models may need to be reassessed (Onali and Goddard, 2009). Multifractality has been examined in a variety of financial time series including stock markets (Pasquini and Serva, 1999;Bouchaud et al 2000;Andreadis and Serletis, 2002;Matia, et al, 2003;Di Matteo et al 2003;Oświęcimka et al, 2005;Moyano et al, 2006;Cajueiro et al, 2009;Stavroyiannis et al, 2010;Maganini et al, 2018;;Uddin et al 2018), foreign exchange markets (Vandewalle, and Ausloos, 1998;Bershadskii, 2003;Norouzzadeh and Rahmani, 2006;Stavroyiannis et al, 2011), commodities , interest rates (Cajueiro and Tabak, 2007), emerging markets (Liu et al, 2010;Benbachir and El Alaoui, 2011;Samadder et al, 2013;Lahmiri S. 2017), and air pollution (Manimaran and Narayana, 2018). The degree of multifractality has been recently associated to the inefficiency of a market (Zunino et al, (2008), since small or emerging markets indicate richer multifractality than the developed ones, and Stavroyiannis et al (2011) using high frequency data for the Euro/JPY exchange rate, introduced the local multifractality sensitivity index as an attempt to a pre-crisis signal.…”