Scale invariant multiplier and multifractality of absolute returns in stock markets
| dc.creator | Jiang, Zhi-Qiang | |
| dc.creator | Zhou, Wei-Xing | |
| dc.date | 2006-09-23 | |
| dc.date | 2007-02-06 | |
| dc.date.accessioned | 2026-07-07T12:07:52Z | |
| dc.date.available | 2026-07-07T12:07:52Z | |
| dc.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 $a$. | |
| dc.description | ll Elsart pages including 5 figures | |
| dc.identifier | https://arxiv.org/abs/physics/0609210 | |
| dc.identifier | http://arxiv.org/abs/physics/0609210 | |
| dc.identifier | Physica A 381, 343-350 (2007) | |
| dc.identifier | doi:10.1016/j.physa.2007.03.015 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/209125 | |
| dc.subject | Physics and Society | |
| dc.subject | Statistical Finance | |
| dc.title | Scale invariant multiplier and multifractality of absolute returns in stock markets | |
| dc.type | text |