Selçuk, Faruk; Gençay, Ramazan - In: Physica A: Statistical Mechanics and its Applications 367 (2006) C, pp. 375-387
This paper provides new empirical evidence for intraday scaling behavior of stock market returns utilizing a 5min stock market index (the Dow Jones Industrial Average) from the New York Stock Exchange. It is shown that the return series has a multifractal nature during the day. In addition, we...