MULTIFRACTAL CONCEPTION OF THE MECHANISM OF INTERMITTENCY OF THE WHIRLS S&P-INDICES IN FINANCIAL TURBULENCE

The use of new methods and approaches of forecasting the economic situation in the world is very much in demand. The use of mathematical methods is an established practice, but the use of physical phenomena to trace an analogy with economic and financial realities, disclosing a future crisis or a jump in a serious financial indicator is an interesting novelty in economic science. This trend appeared in the 1990s of the last century. Since then, physicists have been trying to apply knowledge and models of fundamental physical phenomena to improve the economic condition of society in terms of “predicting” financial shocks. Econophysics is a research topic of the Russian Academy of Sciences. On November 2, 2010, the historical scientific session of the department of physical sciences of the Russian Academy of Sciences took place on the theme “Econophysics and Evolutionary Economics” [1]. The application of multifractal analysis for financial phenomena is considered. It is shown that empiric distribution of p(ΔS) from the daily loss of fund index Standard&Poor (S&P) has spectral density E(k)~k-α with the intermittency factor α~4/3÷5/3. It is specified, that k-α is nothing else but the known scaling presentation of the isotropic turbulence spectrum in the space of motion with the dimension 3, describing the dynamic of high frequency environmental disturbance or in other words the structure of small scale turbulent environment as a skeleton of the whirl cluster with fractal dimension D = α, где α = 4/3, 5/3. Moreover, the value of scaling factor α = 5/3 is given by the well known Kholmogorov — Obukhov spectrum. The author discusses a subject about possible existence of financial analogue of physical homogen turbulence — financial small scale turbulence, which develops in the motion space with the dimension 3.

analogy, vortex, cluster, modeling, multifractal mechanism, intermittency, percolation characteristic, financial turbulence, fund index, econophysics.

Beglarian M. E. Multifractal conception of the mechanism of intermittency of the whirls S&P-indices in financial turbulence. Business. Education. Law, 2020, no. 1, pp. 182–187. DOI: 10.25683/VOLBI.2020.50.129.