Components of multifractality in high-frequency stock returns
AbstractWe 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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number cond-mat/0411112.
Date of creation: Nov 2004
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Publication status: Published in Physica A 350 (2005) 466-474
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Web page: http://arxiv.org/
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