Components of multifractality in high-frequency stock returns

J. Kwapień, Oświe¸cimka, P. and S. Drożdż

Physica A: Statistical Mechanics and its Applications, 2005, vol. 350, issue 2, 466-474

Abstract: We analyzed multifractal properties of 5-min stock returns from a period of over two years for 100 highly capitalized American companies. The two sources: fat-tailed probability distributions and non-linear temporal correlations, vitally contribute to the observed multifractal dynamics of the returns. For majority of the companies the temporal correlations constitute a much more significant related factor, however.

Keywords: Multifractality; Financial markets (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (57)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:350:y:2005:i:2:p:466-474

DOI: 10.1016/j.physa.2004.11.019

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