Effective multifractal features and l-variability diagrams of high-frequency price fluctuations time series

Jeferson de Souza and Silvio M. Duarte Queiros

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Abstract: In this manuscript we present a comprehensive study on the multifractal properties of high-frequency price fluctuations and instantaneous volatility of the equities that compose Dow Jones Industrial Average. The analysis consists about quantification of dependence and non-Gaussianity on the multifractal character of financial quantities. Our results point out an equivalent influence of dependence and non-Gaussianity on the multifractality of time series. Moreover, we analyse l-diagrams of price fluctuations. In the latter case, we show that the fractal dimension of these maps is basically independent of the lag between price fluctuations that we assume.

Date: 2007-11
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0711.2550

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