Multifractal features of financial markets
Kyungsik Kim and
Seong-Min Yoon ()
Physica A: Statistical Mechanics and its Applications, 2004, vol. 344, issue 1, 272-278
We study the tick dynamical behavior of three assets in financial markets (the KOSPI, the won–dollar and yen–dollar exchange rates) using the rescaled range (R/S) analysis. The multifractal Hurst exponents with long-run memory effect can be obtained from those assets, and we discuss whether there exists the crossover or not for the Hurst exponents at characteristic time scales. Particularly, we find that the probability distribution of returns approaches to a Lorentz distribution, different from Gaussian properties.
Keywords: Yen–dollar exchange rate; Won–dollar exchange rate; KOSPI; Hurst exponent; Price–price correlation; R/S analysis (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:344:y:2004:i:1:p:272-278
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