Hierarchical structure of stock price fluctuations in financial markets
AbstractThe financial market and turbulence have been broadly compared on account of the same quantitative methods and several common stylized facts they shared. In this paper, the She-Leveque (SL) hierarchy, proposed to explain the anomalous scaling exponents deviated from Kolmogorov monofractal scaling of the velocity fluctuation in fluid turbulence, is applied to study and quantify the hierarchical structure of stock price fluctuations in financial markets. We therefore observed certain interesting results: (i) The hierarchical structure related to multifractal scaling generally presents in all the stock price fluctuations we investigated. (ii) The quantitatively statistical parameters that describes SL hierarchy are different between developed financial markets and emerging ones, distinctively. (iii) For the high-frequency stock price fluctuation, the hierarchical structure varies with different time period. All these results provide a novelty analogy in turbulence and financial market dynamics and a insight to deeply understand the multifractality in financial markets.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1209.4175.
Date of creation: Sep 2012
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Publication status: Published in J. Stat. Mech. (2012) P12016
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-30 (All new papers)
- NEP-FMK-2012-09-30 (Financial Markets)
- NEP-MST-2012-09-30 (Market Microstructure)
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