Multifractality and long memory of a financial index

Pablo Suárez-García and David Gómez-Ullate

Physica A: Statistical Mechanics and its Applications, 2014, vol. 394, issue C, 226-234

Abstract: In this paper we will try to assess the multifractality displayed by the high-frequency returns of Madrid’s Stock Exchange Ibex35 index. A Multifractal Detrended Fluctuation Analysis shows that this index has a wide singularity spectrum which is most likely caused by its long-memory. Our findings also show that this long-memory can be considered as the superposition of a high-frequency component–related to the daily cycles of arrival of information to the market–over a slowly-varying component that reverberates for long periods of time and which shows no apparent relation with human/economic cycles. This latter component is therefore postulated to be endogenous to market’s dynamics and to be also the most probable source of some of the stylized facts commonly associated with financial time-series.

Keywords: Financial time-series; Intermittence; Multifractality; Long-memory; Stylized facts; Financial markets dynamics (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:394:y:2014:i:c:p:226-234

DOI: 10.1016/j.physa.2013.09.038

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