Multifractality is ubiquitously observed in complex natural and socioeconomic systems. Multifractal analysis provides powerful tools to understand the complex nonlinear nature of time series in diverse fields. Inspired by its striking analogy with hydrodynamic turbulence, from which the idea of multifractality originated, multifractal analysis of financial markets has bloomed, forming one of the main directions of econophysics. We review the multifractal analysis methods and multifractal models adopted in or invented for financial time series and their subtle properties, which are applicable to time series in other disciplines. We survey the cumulating evidence for the presence of multifractality in financial time series in different markets and at different time periods and discuss the sources of multifractality. The usefulness of multifractal analysis in quantifying market inefficiency, in supporting risk management and in developing other applications is presented. We finally discuss open problems and further directions of multifractal analysis.

We introduce a measure of activity of financial markets that provides a direct access to their level of endogeneity. This measure quantifies how much of price changes is due to endogenous feedback processes, as opposed to exogenous news. For this, we calibrate the self-excited conditional Poisson Hawkes model, which combines in a natural and parsimonious way exogenous influences with self-excited dynamics, to the E-mini S&P 500 futures contracts traded in the Chicago Mercantile Exchange from 1998 to 2010. We find that the level of endogeneity has increased significantly from 1998 to 2010, with only 70% in 1998 to less than 30% since 2007 of the price changes resulting from some revealed exogenous information. Analogous to nuclear plant safety measures concerned with avoiding ``criticality,'' our measure provides a direct quantification of the distance of the financial market from a critical state defined precisely as the limit of diverging trading activity in the absence of any external driving.

Notwithstanding the significant efforts to develop estimators of long-range correlations (LRC) and to compare their performance, no clear consensus exists on what is the best method and under which conditions. In addition, synthetic tests suggest that the performance of LRC estimators varies when using different generators of LRC time series. Here, we compare the performances of four estimators [Fluctuation Analysis (FA), Detrended Fluctuation Analysis (DFA), Backward Detrending Moving Average (BDMA), and Centred Detrending Moving Average (CDMA)]. We use three different generators [Fractional Gaussian Noises, and two ways of generating Fractional Brownian Motions]. We find that CDMA has the best performance and DFA is only slightly worse in some situations, while FA performs the worst. In addition, CDMA and DFA are less sensitive to the scaling range than FA. Hence, CDMA and DFA remain “The Methods of Choice” in determining the Hurst index of time series.

We propose a simple theory for the “universal” scaling law previously reported for the distributions of waiting times between earthquakes. It is based on a largely used benchmark model of seismicity, which just assumes no difference in the physics of foreshocks, mainshocks, and aftershocks. Our theoretical calculations provide good fits to the data and show that universality is only approximate. We conclude that the distributions of interevent times do not reveal more information than what is already known from the Gutenberg-Richter and the Omori power laws. Our results reinforce the view that triggering earthquakes by other earthquakes is a key physical mechanism to understand seismicity.

Started in Wuhan, China, the COVID-19 has been spreading all over the world. We calibrate the logistic growth model, the generalized logistic growth model, the generalized Richards model and the generalized growth model to the reported number of infected cases for the whole of China, 29 provinces in China, and 33 countries and regions that have been or are undergoing major outbreaks. We dissect the development of the epidemics in China and the impact of the drastic control measures both at the aggregate level and within each province. We quantitatively document four phases of the outbreak in China with a detailed analysis on the heterogeneous situations across provinces. The extreme containment measures implemented by China were very effective with some instructive variations across provinces. Borrowing from the experience of China, we made scenario projections on the development of the outbreak in other countries. We identified that outbreaks in 14 countries (mostly in western Europe) have ended, while resurgences of cases have been identified in several among them. The modeling results clearly show longer after-peak trajectories in western countries, in contrast to most provinces in China where the after-peak trajectory is characterized by a much faster decay. We identified three groups of countries in different level of outbreak progress, and provide informative implications for the current global pandemic.