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Components of multifractality in high-frequency stock returns

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  • J. Kwapien
  • P. Oswiecimka
  • S. Drozdz
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    Abstract

    We analyzed multifractal properties of 5-minute stock returns from a period of over two years for 100 highly capitalized American companies. The two sources: fat-tailed probability distributions and nonlinear temporal correlations, vitally contribute to the observed multifractal dynamics of the returns. For majority of the companies the temporal correlations constitute a much more significant related factor, however.

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    File URL: http://arxiv.org/pdf/cond-mat/0411112
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number cond-mat/0411112.

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    Date of creation: Nov 2004
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    Publication status: Published in Physica A 350 (2005) 466-474
    Handle: RePEc:arx:papers:cond-mat/0411112

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    Web page: http://arxiv.org/

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