Jean-Philippe Bouchaud (Science & Finance, Capital Fund Management) Marc Potters Martin Meyer (Science & Finance, Capital Fund Management)
Abstract
We 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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Length: Date of creation: Jun 1999 Date of revision: Publication status: published in European Physical Journal B, vol. 13, pp. 595-599 (2000) Handle: RePEc:sfi:sfiwpa:9906347
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Find related papers by JEL classification: G1 - Financial Economics - - General Financial Markets G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
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