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Apparent multifractality in financial time series

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  • Jean-Philippe Bouchaud

    (Science & Finance, Capital Fund Management
    CEA Saclay;)

  • Marc Potters

    (Science & Finance, Capital Fund Management)

  • 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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Paper provided by Science & Finance, Capital Fund Management in its series Science & Finance (CFM) working paper archive with number 9906347.

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Date of creation: Jun 1999
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Publication status: Published in European Physical Journal B 13 595-599 (2000) [reprint]
Handle: RePEc:sfi:sfiwpa:9906347

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Cited by:
  1. Stavroyiannis, S. & Makris, I. & Nikolaidis, V., 2010. "Non-extensive properties, multifractality, and inefficiency degree of the Athens Stock Exchange General Index," International Review of Financial Analysis, Elsevier, Elsevier, vol. 19(1), pages 19-24, January.
  2. repec:sfi:sfiwpa:500061 is not listed on IDEAS
  3. T. Di Matteo & T. Aste & Michel M. Dacorogna, 2004. "Using the Scaling Analysis to Characterize Financial Markets," Finance, EconWPA 0402014, EconWPA.
  4. Raffaello Morales & T. Di Matteo & Ruggero Gramatica & Tomaso Aste, 2011. "Dynamical Hurst exponent as a tool to monitor unstable periods in financial time series," Papers, arXiv.org 1109.0465, arXiv.org.
  5. J. Doyne Farmer, 1999. "Physicists Attempt to Scale the Ivory Towers of Finance," Working Papers, Santa Fe Institute 99-10-073, Santa Fe Institute.
  6. T. Di Matteo & T. Aste & Michel M. Dacorogna, 2005. "Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development," Econometrics, EconWPA 0503004, EconWPA.
  7. Cajueiro, Daniel O. & Tabak, Benjamin M., 2006. "Testing for predictability in equity returns for European transition markets," Economic Systems, Elsevier, Elsevier, vol. 30(1), pages 56-78, March.
  8. Challet, Damien & Peirano, Pier Paolo, 2008. "The ups and downs of the renormalization group applied to financial time series," MPRA Paper, University Library of Munich, Germany 9770, University Library of Munich, Germany.

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