Scale invariant distribution and multifractality of volatility multipliers in stock markets

Zhi-Qiang Jiang and Wei-Xing Zhou

Physica A: Statistical Mechanics and its Applications, 2007, vol. 381, issue C, 343-350

Abstract: The statistical properties of the multipliers of the absolute returns are investigated using 1-min high-frequency data of financial time series. The multiplier distribution is found to be independent of the box size s when s is larger than some crossover scale, providing direct evidence of the existence of scale invariance in financial data. The multipliers with base a=2 are well approximated by a normal distribution and the most probable multiplier scales as a power law with respect to the base a. We unravel that the volatility multipliers possess multifractal nature which is independent of construction of the multipliers, that is, the values of s and a.

Keywords: Econophysics; Stock markets; Multiplier; Volatility; Scale invariance; Multifractal analysis (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (35)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437107003020
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:381:y:2007:i:c:p:343-350

DOI: 10.1016/j.physa.2007.03.015

Access Statistics for this article

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

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().