By applying the multifractal detrended fluctuation analysis to the high-frequency tick-by-tick data from Deutsche Börse both in the price and in the time domains, we investigate multifractal properties of the time series of logarithmic price increments and inter-trade intervals of time. We show...

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...