Apparent multifractality in financial time series

Jean-Philippe Bouchaud, Marc Potters and Martin Meyer
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Jean-Philippe Bouchaud: Science & Finance, Capital Fund Management
Marc Potters: Science & Finance, Capital Fund Management
Martin Meyer: Science & Finance, Capital Fund Management

No 9906347, Science & Finance (CFM) working paper archive from Science & Finance, Capital Fund Management

Abstract: We present a exactly soluble model for financial time series that mimics the long range volatility correlations known to be present in financial data. Although our model is `monofractal' by construction, it shows apparent multiscaling as a result of a slow crossover phenomenon on finite time scales. Our results suggest that it might be hard to distinguish apparent and true multifractal behavior in financial data. Our model also leads to a new family of stable laws for sums of correlated random variables.

JEL-codes: G1 G14 (search for similar items in EconPapers)
Date: 1999-06
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Published in European Physical Journal B 13 595-599 (2000) [reprint]

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Persistent link: http://EconPapers.repec.org/RePEc:sfi:sfiwpa:9906347

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