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Multifractality and Self-Adjustment of the Attraction Channel of Stock Market

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Abstract

For different evolutionary stages of the stock market, the fractal dimensionality of the attraction zone was estimated for the short-term and medium-term dynamic structures using by way of example the cost of the futures contract by the Standard and Poors 500 stock index. Adaptation of the stock market to a new environment was shown to be realized through reducing the fractal dimensionality, that is, chaoticity of motion, of the short-term dynamic structures. Minimization of the fractal dimensionality with the increase of the efficient existence of the dynamic component substructures was shown to be the prerequisite for stability of the multifractal dynamic system of the stock market.

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  1. Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, Russia

    V. G. Kleparskii

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  1. V. G. Kleparskii
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Kleparskii, V.G. Multifractality and Self-Adjustment of the Attraction Channel of Stock Market. Automation and Remote Control 62, 607–616 (2001). https://doi.org/10.1023/A:1010237713168

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