Advanced Search
MyIDEAS: Login

Scaling transformation and probability distributions for financial time series

Contents:

Author Info

  • Marc-Etienne BRACHET

    (Laboratoire de Physique Statistique, CNRS, ENS, France)

  • Erik TAFLIN

    (Direction Scientifique, AXA-UAP, France)

  • Jean Marcel TCHEOU

    (Laboratoire de Physique Statistique, ENS, France; Direction Scientifique, AXA-UAP, France)

Registered author(s):

    Abstract

    The price of financial assets are, since Bachelier, considered to be described by a (discrete or continuous) time sequence of random variables, i.e a stochastic process. Sharp scaling exponents or unifractal behavior of such processes has been reported in several works. In this letter we investigate the question of scaling transformation of price processes by establishing a new connexion between non-linear group theoretical methods and multifractal methods developed in mathematical physics. Using two sets of financial chronological time series, we show that the scaling transformation is a non-linear group action on the moments of the price increments. Its linear part has a spectral decomposition that puts in evidence a multifractal behavior of the price increments.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://128.118.178.162/eps/ge/papers/9901/9901003.ps.gz
    Download Restriction: no

    File URL: http://128.118.178.162/eps/ge/papers/9901/9901003.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by EconWPA in its series GE, Growth, Math methods with number 9901003.

    as in new window
    Length: 12 pages
    Date of creation: 25 Jan 1999
    Date of revision:
    Handle: RePEc:wpa:wuwpge:9901003

    Note: Type of Document - PostScript; prepared on TeX; to print on PostScript-color; pages: 12; figures: included-EPS
    Contact details of provider:
    Web page: http://128.118.178.162

    Related research

    Keywords: multifractal; scaling; exchange rate; stock index; non-linear group action;

    Find related papers by JEL classification:

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Adlai Fisher & Laurent Calvet & Benoit Mandelbrot, 1997. "Multifractality of Deutschemark/US Dollar Exchange Rates," Cowles Foundation Discussion Papers 1166, Cowles Foundation for Research in Economics, Yale University.
    2. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpge:9901003. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA).

    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.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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