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Turbulence in magnetized plasmas and financial markets: comparative study of multifractal statistics

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  • Budaev, V.P.

Abstract

The turbulence in magnetized plasma and financial data of Russian market have been studied in terms of the multifractal formalism revisited with wavelets. The multifractal formalism based on wavelet calculations allows one to study the scaling properties of turbulent fluctuations. It is observed that both plasma edge turbulence in fusion devices and Russian financial markets demonstrate multifractal statistics, i.e., the scaling behaviour of absolute moments is described by a convex function. Multifractality parameter defined in multiplicative cacade model, seems to be of the same magnitude for the plasma and financial time series considered in this paper.

Suggested Citation

  • Budaev, V.P., 2004. "Turbulence in magnetized plasmas and financial markets: comparative study of multifractal statistics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 299-307.
    • Handle: RePEc:eee:phsmap:v:344:y:2004:i:1:p:299-307
    DOI: 10.1016/j.physa.2004.06.139
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    References listed on IDEAS

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    1. E. Bacry & J. Delour & J. F. Muzy, 2000. "A multivariate multifractal model for return fluctuations," Papers cond-mat/0009260, arXiv.org.
    2. James Verdier & Rebecca Dodge & Lisa Chimento & Joel Menges & Moira Forbes, "undated". "Using Data Strategically in Medicaid Managed Care," Mathematica Policy Research Reports a9627d6381e448088b25fe89d, Mathematica Policy Research.
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    Cited by:

    1. Wang, Yi & Sun, Qi & Zhang, Zilu & Chen, Liqing, 2022. "A risk measure of the stock market that is based on multifractality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 596(C).

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