Fractal Measures in Market Microstructure Research

Rossitsa Yalamova ()
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Rossitsa Yalamova: University of Lethbridge, Canada

Multinational Finance Journal, 2012, vol. 16, issue 1-2, 137-154

Abstract: This paper proposes the generalized use of fractional Brownian motion in a multifractal trading time framework to reveal variation in the index price diffusion process that appears before and after 'extreme' events of distinct origin. "Crashes" following internal self-organization and those caused by external shocks differ in the relaxation process. The goal of this paper is to test for differences in the price diffusion process related to the organization of trading.

Keywords: trading mechanics; multifractal spectrum; extreme events (search for similar items in EconPapers)
JEL-codes: C65 D53 D84 G01 G14 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:mfj:journl:v:16:y:2012:i:1-2:p:137-154

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