IDEAS home Printed from https://ideas.repec.org/p/arx/papers/cond-mat-0411112.html
   My bibliography  Save this paper

Components of multifractality in high-frequency stock returns

Author

Listed:
  • J. Kwapien
  • P. Oswiecimka
  • S. Drozdz

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.

Suggested Citation

  • J. Kwapien & P. Oswiecimka & S. Drozdz, 2004. "Components of multifractality in high-frequency stock returns," Papers cond-mat/0411112, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/0411112
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/cond-mat/0411112
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:cond-mat/0411112. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.