Components of multifractality in high-frequency stock returns
Other Condensed Matter
2009-11-10 v1 Statistical Finance
Abstract
We analyzed multifractal properties of 5-minute stock returns from a period of over two years for 100 highly capitalized American companies. The two sources: fat-tailed probability distributions and nonlinear temporal correlations, vitally contribute to the observed multifractal dynamics of the returns. For majority of the companies the temporal correlations constitute a much more significant related factor, however.
Keywords
Cite
@article{arxiv.cond-mat/0411112,
title = {Components of multifractality in high-frequency stock returns},
author = {J. Kwapien and P. Oswiecimka and S. Drozdz},
journal= {arXiv preprint arXiv:cond-mat/0411112},
year = {2009}
}
Comments
to appear in Physica A