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Components of multifractality in high-frequency stock returns

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.
Year of publication:
2004-11
Authors: Kwapien, J. ; Oswiecimka, P. ; Drozdz, S.
Institutions: arXiv.org
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application/pdf
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Type of publication: Book / Working Paper
Language: English
Notes:
Published in Physica A 350 (2005) 466-474
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Persistent link: https://www.econbiz.de/10005083617
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