Multifractal Company Market: An Application to the Stock Market Indices

Using the multiscale normalized partition function, we exploit the multifractal analysis based on directly measurable shares of companies in the market. We present evidence that markets of competing firms are multifractal/multiscale. We verified this by (i) using our model that described the critica...

Full description

Saved in:
Bibliographic Details
Published inEntropy (Basel, Switzerland) Vol. 24; no. 1; p. 130
Main Authors Chorowski, Michał, Kutner, Ryszard
Format Journal Article
LanguageEnglish
Published Switzerland MDPI AG 16.01.2022
MDPI
Subjects
Asymmetry
company market
Company structure
Competition
Critical phenomena
Empirical analysis
Fractal analysis
Market shares
Markets
multifractal analysis
multiscale partition function
Partitions (mathematics)
Phase transitions
multiscale partition function
multifractal analysis
company market
Online AccessGet full text

Cover

More Information
Summary:Using the multiscale normalized partition function, we exploit the multifractal analysis based on directly measurable shares of companies in the market. We present evidence that markets of competing firms are multifractal/multiscale. We verified this by (i) using our model that described the critical properties of the company market and (ii) analyzing a real company market defined by the S&P500 index. As the valuable reference case, we considered a four-group market model that skillfully reconstructs this index's empirical data. We point out that a four-group company market organization is universal because it can perfectly describe the essential features of the spectrum of dimensions, regardless of the analyzed series of shares. The apparent differences from the empirical data appear only at the level of subtle effects.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 23
ISSN:1099-4300
1099-4300
DOI:10.3390/e24010130