Ioffe Institute, St. Petersburg, Russia
Cite: Hilarov V. On the fractal self-organization of the financial time series. J. Digit. Sci. 4(1), 71 – 77 (2022). https://doi.org/10.33847/2686-8296.4.1_6
Abstract. Time series of five financial indexes daily returns were analyzed by means of multifractal and recurrence quantification analysis (RQA) methods. It is shown that a financial crisis in 2008 year is accompanied with the increase in determinism and fractal self-organization. Such regularity is noted as analogous to other nonlinear systems behavior in catastrophic situations. At the same time, the global Hürst coefficient is minimal during the crises instead of maximum for physical systems.
Keywords: nonlinear dynamical systems, multifractals, recurrence quantification analysis, catastrophes.
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Published online 12.06.2022