dorsal/arxiv
View SchemaScale invariant multiplier and multifractality of absolute returns in stock markets
| Authors | Zhi-Qiang Jiang, Wei-Xing Zhou |
|---|---|
| Categories | |
| ArXiv ID | physics/0609210 |
| URL | https://arxiv.org/abs/physics/0609210 |
| DOI | 10.1016/j.physa.2007.03.015 |
| Journal | Physica A 381, 343-350 (2007) |
Abstract
The statistical properties of the multipliers of the absolute returns are investigated using one-minute high-frequency data of financial time series. The multiplier distribution is found to be independent of the box size $s$ when $s$ is larger than some crossover scale, providing direct evidence of the existence of scale invariance in financial data. The multipliers with base $a=2$ are well approximated by a normal distribution and the most probable multiplier scales as a power law in respect to the base $a$. We unravel that the volatility multipliers possess multifractal nature which is independent of construction of the multipliers, that is, the values of $s$ and $a$.
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"abstract": "The statistical properties of the multipliers of the absolute returns are\ninvestigated using one-minute high-frequency data of financial time series. The\nmultiplier distribution is found to be independent of the box size $s$ when $s$\nis larger than some crossover scale, providing direct evidence of the existence\nof scale invariance in financial data. The multipliers with base $a=2$ are well\napproximated by a normal distribution and the most probable multiplier scales\nas a power law in respect to the base $a$. We unravel that the volatility\nmultipliers possess multifractal nature which is independent of construction of\nthe multipliers, that is, the values of $s$ and $a$.",
"arxiv_id": "physics/0609210",
"authors": [
"Zhi-Qiang Jiang",
"Wei-Xing Zhou"
],
"categories": [
"physics.soc-ph",
"q-fin.ST"
],
"doi": "10.1016/j.physa.2007.03.015",
"journal_ref": "Physica A 381, 343-350 (2007)",
"title": "Scale invariant multiplier and multifractality of absolute returns in stock markets",
"url": "https://arxiv.org/abs/physics/0609210"
},
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