Scaling analysis of multi-variate intermittent time series

Robert Kitt and Jaan Kalda

Physica A: Statistical Mechanics and its Applications, 2005, vol. 353, issue C, 480-492

Abstract: The scaling properties of the time series of asset prices and trading volumes of stock markets are analysed. It is shown that similar to the asset prices, the trading volume data obey multi-scaling length-distribution of low-variability periods. In the case of asset prices, such scaling behaviour can be used for risk forecasts: the probability of observing next day a large price movement is (super-universally) inversely proportional to the length of the ongoing low-variability period. Finally, a method is devised for a multi-factor scaling analysis. We apply the simplest, two-factor model to equity index and trading volume time series.

Keywords: Econophysics; Multi-scaling; Low-variability periods (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:353:y:2005:i:c:p:480-492

DOI: 10.1016/j.physa.2005.01.038

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