Non-stationary multifractality in stock returns

Raffaello Morales, T. Di Matteo and Tomaso Aste

Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, issue 24, 6470-6483

Abstract: We perform an extensive empirical analysis of scaling properties of equity returns, suggesting that financial data show time varying multifractal properties. This is obtained by comparing empirical observations of the weighted generalised Hurst exponent (wGHE) with time series simulated via Multifractal Random Walk (MRW) by Bacry et al. [E. Bacry, J. Delour, J.-F. Muzy, Multifractal random walk, Physical Review E 64 (2) (2001) 026103]. While dynamical wGHE computed on synthetic MRW series is consistent with a scenario where multifractality is constant over time, fluctuations in the dynamical wGHE observed in empirical data are not in agreement with a MRW with constant intermittency parameter. We test these hypotheses of constant multifractality considering different specifications of MRW model with fatter tails: in all cases considered, although the thickness of the tails accounts for most of the anomalous fluctuations of multifractality, it still cannot fully explain the observed fluctuations.

Keywords: Multifractality; Generalised Hurst exponent; Multifractal models (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:392:y:2013:i:24:p:6470-6483

DOI: 10.1016/j.physa.2013.08.037

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