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Intraday dynamics of stock market returns and volatility

Faruk Selcuk and Ramazan Gencay

Physica A: Statistical Mechanics and its Applications, 2006, vol. 367, issue C, 375-387

Abstract: This paper provides new empirical evidence for intraday scaling behavior of stock market returns utilizing a 5min stock market index (the Dow Jones Industrial Average) from the New York Stock Exchange. It is shown that the return series has a multifractal nature during the day. In addition, we show that after a financial “earthquake”, aftershocks in the market follow a power law, analogous to Omori's law. Our findings indicate that the moments of the return distribution scale nonlinearly across time scales and accordingly, volatility scaling is nonlinear under such a data generating mechanism.

Keywords: Intraday return; Intraday volatility; Pivotal statistics; Multifractals; Self-similarity; Scaling; Omori's law (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:367:y:2006:i:c:p:375-387

DOI: 10.1016/j.physa.2005.12.019

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Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

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