Apparent multifractality in financial time series
凝聚态物理
2015-06-25 v1
摘要
We present a exactly soluble model for financial time series that mimics the long range volatility correlations known to be present in financial data. Although our model is `monofractal' by construction, it shows apparent multiscaling as a result of a slow crossover phenomenon on finite time scales. Our results suggest that it might be hard to distinguish apparent and true multifractal behavior in financial data. Our model also leads to a new family of stable laws for sums of correlated random variables.
引用
@article{arxiv.cond-mat/9906347,
title = {Apparent multifractality in financial time series},
author = {Jean-Philippe Bouchaud and Marc Potters and Martin Meyer},
journal= {arXiv preprint arXiv:cond-mat/9906347},
year = {2015}
}
备注
Latex 9 pp with 3 postscript figures (in-text)