On the interplay between multiscaling and stocks dependence
Statistical Finance
2019-04-02 v2
Abstract
We find a nonlinear dependence between an indicator of the degree of multiscaling of log-price time series of a stock and the average correlation of the stock with respect to the other stocks traded in the same market. This result is a robust stylized fact holding for different financial markets. We investigate this result conditional on the stocks' capitalization and on the kurtosis of stocks' log-returns in order to search for possible confounding effects. We show that a linear dependence with the logarithm of the capitalization and the logarithm of kurtosis does not explain the observed stylized fact, which we interpret as being originated from a deeper relationship.
Cite
@article{arxiv.1802.01113,
title = {On the interplay between multiscaling and stocks dependence},
author = {R. J. Buonocore and G. Brandi and R. N. Mantegna and T. Di Matteo},
journal= {arXiv preprint arXiv:1802.01113},
year = {2019}
}
Comments
19 pages, 8 figures, 9 tables