Properties of low variability periods in financial time series

Details Properties of low variability periods in financial time series Properties of low variability periods in financial time series

2004-06-09

arxiv.org/abs/cond-mat/0406225v2

Physica A, 345, 2005, 622

Physics

Condensed Matter

Statistical Mechanics

14 pages, 5 figures, 3 tables, Submitted to Physica A

Scientific paper

10.1016/j.physa.2004.07.015

Properties of low-variability periods in the time series are analysed. The theoretical approach is used to show the relationship between the multi-scaling of low-variability periods and multi-affinity of the time series. It is shown that this technically simple method is capable of reveling more details about time-series than the traditional multi-affine analysis. We have applied this scaling analysis to financial time series: a number of daily currency and stock index time series. The results show a good scaling behaviour for different model parameters. The analysis of high-frequency USD-EUR exchange rate data confirmed the theoretical expectations.

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