Detection of financial crisis by methods of multifractal analysis

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Detection of financial crisis by methods of
multifractal analysis

• I. Agaev
• Department of Computational Physics
• Saint-Petersburg State University
• e-mail ilya-agaev_at_yandex.ru

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Contents

• Introduction to econophysics
• What is econophysics?
• Methodology of econophysics
• Fractals
• Iterated function systems
• Introduction to theory of fractals
• Multifractals
• Generalized fractal dimensions
• Local Holder exponents
• Function of multifractal spectrum
• Case study
• Multifractal analysis
• Detection of crisis on financial markets

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What is econophysics?
Computational physics
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Methodology of econophysics
Multifractal analysis (R/S-analysis, Hurst
exponent, Local Holder exponent, MMAR)
Chaos and nonlinear dynamics (Lyapunov exponents,
attractors, embedding dimensions)
Methodology of econophysics
Statistical physics (Fokker-Plank equation,
Kolmogorov equation, renormalization group
methods)
Artificial neural networks (Clusterisation,
forecasts)
Stochastic processes (Ito