Scaling analysis of multivariate intermittent time series

Details Scaling analysis of multivariate intermittent time series Scaling analysis of multivariate intermittent time series

2005-01-13

arxiv.org/abs/cond-mat/0501325v1

Physica A, 353, 2005, 480

Physics

Condensed Matter

Statistical Mechanics

16 pages, 5 figures, accepted for publication in Physica A

Scientific paper

10.1016/j.physa.2005.01.038

The scaling properties of the time series of asset prices and trading volumes of stock markets are analysed. It is shown that similarly to the asset prices, the trading volume data obey multi-scaling length-distribution of low-variability periods. In the case of asset prices, such scaling behaviour can be used for risk forecasts: the probability of observing next day a large price movement is (super-universally) inversely proportional to the length of the ongoing low-variability period. Finally, a method is devised for a multi-factor scaling analysis. We apply the simplest, two-factor model to equity index and trading volume time series.

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