English

Multiscale behaviour of volatility autocorrelations in a financial market

Statistical Mechanics 2008-12-02 v1 Disordered Systems and Neural Networks Statistical Finance

Abstract

We perform a scaling analysis on NYSE daily returns. We show that volatility correlations are power-laws on a time range from one day to one year and, more important, that they exhibit a multiscale behaviour.

Keywords

Cite

@article{arxiv.cond-mat/9810232,
  title  = {Multiscale behaviour of volatility autocorrelations in a financial market},
  author = {Michele Pasquini and Maurizio Serva},
  journal= {arXiv preprint arXiv:cond-mat/9810232},
  year   = {2008}
}

Comments

2 pages, RevTeX, 3 eps figures, submitted to Economics Letters