Fujiwara, Yoshi; Fujisaka, Hirokazu - In: Physica A: Statistical Mechanics and its Applications 294 (2001) 3, pp. 439-446
We propose a new approach for analyzing price fluctuations in their strongly correlated regime ranging from minutes to months. This is done by employing a self-similarity assumption for the magnitude of coarse-grained price fluctuation or volatility. The existence of a Cramér function, the...