Self-averaging phenomenon and multiscaling in Hong Kong stock market
It is shown that a natural self-averaging phenomenon can transform the initially (on a microscopic level) lognormal distribution into bi-lognormal one. Comparison with Hong Kong stock market (Hang Seng index) is used to show that this mechanism is working for different time lags and, therefore, the mechanism can be a reason for profound multiscaling observed for this system.
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Volume (Year): 317 (2003)
Issue (Month): 3 ()
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