On the interplay between multiscaling and stocks dependence

R. J. Buonocore, G. Brandi, Rosario Mantegna and T. Di Matteo

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Abstract: We find a nonlinear dependence between an indicator of the degree of multiscaling of log-price time series of a stock and the average correlation of the stock with respect to the other stocks traded in the same market. This result is a robust stylized fact holding for different financial markets. We investigate this result conditional on the stocks' capitalization and on the kurtosis of stocks' log-returns in order to search for possible confounding effects. We show that a linear dependence with the logarithm of the capitalization and the logarithm of kurtosis does not explain the observed stylized fact, which we interpret as being originated from a deeper relationship.

Date: 2018-02, Revised 2019-03
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