Scale invariant multiplier and multifractality of absolute returns in stock markets
Loading...
Date
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
Description
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 $a$.
ll Elsart pages including 5 figures
ll Elsart pages including 5 figures