Scale invariant multiplier and multifractality of absolute returns in stock markets

Details Scale invariant multiplier and multifractality of absolute returns in stock markets Scale invariant multiplier and multifractality of absolute returns in stock markets

2006-09-23

arxiv.org/abs/physics/0609210v2

Physica A 381, 343-350 (2007)

Physics

Physics and Society

ll Elsart pages including 5 figures

Scientific paper

10.1016/j.physa.2007.03.015

The statistical properties of the multipliers of the absolute returns are investigated using one-minute high-frequency data of financial time series. The multiplier distribution is found to be independent of the box size $s$ when $s$ is larger than some crossover scale, providing direct evidence of the existence of scale invariance in financial data. The multipliers with base $a=2$ are well approximated by a normal distribution and the most probable multiplier scales as a power law in respect to the base $a$. We unravel that the volatility multipliers possess multifractal nature which is independent of construction of the multipliers, that is, the values of $s$ and $a$.

Affiliated with

Also associated with

No associations

Rating

Scale invariant multiplier and multifractality of absolute returns in stock markets does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Scale invariant multiplier and multifractality of absolute returns in stock markets, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Scale invariant multiplier and multifractality of absolute returns in stock markets will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-659707