Apparent multifractality in financial time series
AbstractWe present a exactly soluble model for financial time series that mimics the long range volatility correlations known to be present in financial data. Although our model is `monofractal' by construction, it shows apparent multiscaling as a result of a slow crossover phenomenon on finite time scales. Our results suggest that it might be hard to distinguish apparent and true multifractal behavior in financial data. Our model also leads to a new family of stable laws for sums of correlated random variables.
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Bibliographic InfoPaper provided by Science & Finance, Capital Fund Management in its series Science & Finance (CFM) working paper archive with number 9906347.
Date of creation: Jun 1999
Date of revision:
Publication status: Published in European Physical Journal B 13 595-599 (2000) [reprint]
Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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- T. Di Matteo & T. Aste & Michel M. Dacorogna, 2004.
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