Components of multifractality in high-frequency stock returns

J. Kwapien, P. Oswiecimka and S. Drozdz

Papers from arXiv.org

Abstract: We analyzed multifractal properties of 5-minute stock returns from a period of over two years for 100 highly capitalized American companies. The two sources: fat-tailed probability distributions and nonlinear temporal correlations, vitally contribute to the observed multifractal dynamics of the returns. For majority of the companies the temporal correlations constitute a much more significant related factor, however.

Date: 2004-11
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Published in Physica A 350 (2005) 466-474

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