Direct evidence for inversion formula in multifractal financial volatility measure

Zhi-Qiang Jiang and Wei-Xing Zhou
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Zhi-Qiang Jiang: ECUST

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Abstract: The inversion formula for conservative multifractal measures was unveiled mathematically a decade ago, which is however not well tested in real complex systems. In this Letter, we propose to verify the inversion formula using high-frequency turbulent financial data. We construct conservative volatility measure based on minutely S&P 500 index from 1982 to 1999 and its inverse measure of exit time. Both the direct and inverse measures exhibit nice multifractal nature, whose scaling ranges are not irrelevant. Empirical investigation shows that the inversion formula holds in financial markets.

Date: 2008-01
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Published in Chinese Phys. Lett. 26, 028901, (2009)

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