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Effective multifractal features of high-frequency price fluctuations time series and ℓ-variability diagrams

Jeferson de Souza and Sílvio M. Duarte Queirós

Chaos, Solitons & Fractals, 2009, vol. 42, issue 4, 2512-2521

Abstract: In this manuscript we present a comprehensive study on the multifractal properties of high-frequency price fluctuations and instantaneous volatility of the equities that compose the Dow Jones Industrial Average. The analysis consists about the quantification of the influence of dependence and non-Gaussianity on the multifractal character of financial quantities. Our results point out an equivalent importance of dependence and non-Gaussianity on the multifractality of time series. Moreover, we analyse ℓ-diagrams of price fluctuations. In the latter case, we show that the fractal dimension of these maps is basically independent of the lag between price fluctuations that we assume.

Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:42:y:2009:i:4:p:2512-2521

DOI: 10.1016/j.chaos.2009.03.198

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