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

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dc.creatorde Souza, Jeferson
dc.creatorQueiros, Silvio M. Duarte
dc.date2007-11-16
dc.date.accessioned2026-07-07T12:05:33Z
dc.date.available2026-07-07T12:05:33Z
dc.descriptionIn 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.
dc.description20 pages
dc.identifierhttps://arxiv.org/abs/0711.2550
dc.identifierhttp://arxiv.org/abs/0711.2550
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208404
dc.subjectStatistical Finance
dc.subjectData Analysis, Statistics and Probability
dc.titleEffective multifractal features and l-variability diagrams of high-frequency price fluctuations time series
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