• Corpus ID: 53065217

Modified Holder Exponents Approach to Prediction of the USA Stock Market Critical Points and Crashes

  title={Modified Holder Exponents Approach to Prediction of the USA Stock Market Critical Points and Crashes},
  author={Yu. A. Kuperin and R. R. Schastlivtsev},
  journal={arXiv: Statistical Finance},
The paper is devoted to elaboration of a novel specific indicator based on the modified Holder exponents. This indicator has been used for forecasting critical points of financial time series and crashes of the USA stock market. The proposed approach is based on the hypothesis, which claims that before market critical points occur the dynamics of financial time series radically changes, namely time series become smoother. The approach has been tested on the stylized data and real USA stock… 
4 Citations

Figures from this paper

Statistical and Multifractal Properties of the Time Series Generated by a Modified Minority Game
In this paper it was developed a modification of the known multiagent model Minority Game, designed to simulate the behavior of traders in financial markets and the resulting price dynamics on the
Fractal Analysis of Financial Time Series Using Fractal Dimension and Pointwise Hölder Exponents
This paper presents a fractal analysis application to the verification of assumptions of Fractal Market Hypothesis and the presence of fractal properties in financial time series. In this research,
Neural clouds for monitoring of complex systems
Neural Clouds (NC) is a novel data encapsulation method, which provides a confidence measure regarding classification of the complex system conditions, which is typically available in the presented adaptive algorithm.
Validity of the fractional Leibniz rule on a coarse-grained medium yields a modied fractional chain rule
In this short communication, we show that the validity of the Leibniz rule for a fractional derivative on a coarse-grained medium brings about a modied chain rule, in agreement with alternative


Multifractal Analysis and Local Hoelder Exponents Approach to Detecting Stock Markets Crashes
The local regularity of time-series is studied and this spesial behaviour of local Hoelder exponents inherent in financial time series can be used in detecting critcal events or crashes at financial markets.
Large Stock Market Price Drawdowns are Outliers
Drawdowns (loss from the last local maximum to the next local minimum) are essential aspects of risk assessment in investment management. They offer a more natural measure of real market risks than
Large financial crashes
Stock Market Crashes, Precursors and Replicas
We present an analysis of the time behavior of the S&P 500 (Standard and Poors) New York stock exchange index before and after the October 1987 market crash and identify precursory patterns as well
Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash
The multifractal model of asset returns captures the volatility persistence of many financial time series. Its multifractal spectrum computed from wavelet modulus maxima lines provides the spectrum
Chaos and Order in the Capital Markets: A New View of Cycles, Prices, and Market Volatility
THE NEW PARADIGM Introduction: Life Can Be So Complicated Random Walks and Efficient Markets The Failure of the Linear Paradigm Markets and Chaos: Chance and Necessity FRACTAL STRUCTURE IN THE
Large Deviations and the Distribution of Price Changes
The Multifractal Model of Asset Returns ("MMAR," see Mandelbrot, Fisher, and Calvet, 1997) proposes a class of multifractal processes for the modelling of financial returns. In that paper,
Crashes at Critical Points
We study a rational expectation model of bubbles and crashes. The model has two components: (1) our key assumption is that a crash may be caused by local self-reinforcing imitation between noise
Chaos and nonlinear dynamics : evidence from Finland
This paper contains a set of tests for nonlinearities in economic time series.The tests correspond both to standard diagnostic tests and some new developments in testing nonlinearities.The latter