Components of multifractality in high-frequency stock returns

We analyzed multifractal properties of 5-min stock returns from a period of over two years for 100 highly capitalized American companies. The two sources: fat-tailed probability distributions and non-linear 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.

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Year of publication:	2005
Authors:	Kwapień, J. ; Oświe¸cimka, P. ; Drożdż, S.
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 350.2005, 2, p. 466-474
Publisher:	Elsevier
Subject:	Multifractality \| Financial markets

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011060319