Coarse-graining and self-similarity of price fluctuations

Yoshi Fujiwara and Hirokazu Fujisaka

Physica A: Statistical Mechanics and its Applications, 2001, vol. 294, issue 3, 439-446

Abstract: 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 characteristic function for self-similarity, is confirmed by analyzing real price data from a stock market. We also discuss the close interrelation among our approach, the scaling-of-moments method and the multifractal approach for price fluctuations.

Keywords: Self-similarity; Large deviation theory; Cramér function; Volatility; Econophysics (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:294:y:2001:i:3:p:439-446

DOI: 10.1016/S0378-4371(01)00135-2

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