Scale invariant multiplier and multifractality of absolute returns in stock markets

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

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Abstract: The statistical properties of the multipliers of the absolute returns are investigated using one-minute high-frequency data of financial time series. The multiplier distribution is found to be independent of the box size $s$ when $s$ is larger than some crossover scale, providing direct evidence of the existence of scale invariance in financial data. The multipliers with base $a=2$ are well approximated by a normal distribution and the most probable multiplier scales as a power law in respect to the base $a$. We unravel that the volatility multipliers possess multifractal nature which is independent of construction of the multipliers, that is, the values of $s$ and $a$.

Date: 2006-09, Revised 2007-02
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Published in Physica A 381, 343-350 (2007)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:physics/0609210

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