Effective multifractal features and l-variability diagrams of high-frequency price fluctuations time series

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In this manuscript we present a comprehensive study on the multifractal properties of high-frequency price fluctuations and instantaneous volatility of the equities that compose Dow Jones Industrial Average. The analysis consists about quantification of dependence and non-Gaussianity on the multifractal character of financial quantities. Our results point out an equivalent influence of dependence and non-Gaussianity on the multifractality of time series. Moreover, we analyse l-diagrams of price fluctuations. In the latter case, we show that the fractal dimension of these maps is basically independent of the lag between price fluctuations that we assume.
20 pages

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Statistical Finance, Data Analysis, Statistics and Probability

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http://salesiana.dossiersoluciones.com/handle/123456789/208404

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0711.2550
 http://arxiv.org/abs/0711.2550

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arXiv