Multiscale behaviour of volatility autocorrelations in a financial market

Michele Pasquini and Maurizio Serva
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Michele Pasquini: Dip. di Matematica and I.N.F.M., Universit\`a dell'Aquila, Italy
Maurizio Serva: Dip. di Matematica and I.N.F.M., Universit\`a dell'Aquila, Italy

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Abstract: We perform a scaling analysis on NYSE daily returns. We show that volatility correlations are power-laws on a time range from one day to one year and, more important, that they exhibit a multiscale behaviour.

Date: 1998-10
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