IDEAS home Printed from https://ideas.repec.org/p/arx/papers/cond-mat-0101175.html
   My bibliography  Save this paper

Coarse-graining and Self-similarity of Price Fluctuations

Author

Listed:
  • Yoshi Fujiwara
  • Hirokazu Fujisaka

Abstract

We propose a new approach for analyzing price fluctuations in their strongly correlated regime ranging from minutes to months. This is done by employing a self-similarity assumption for the magnitude of coarse-grained price fluctuation or volatility. The existence of a Cramer function, the characteristic function for self-similarity, is confirmed by analyzing real price data from a stock market. We also discuss the close interrelation among our approach, the scaling-of-moments method and the multifractal approach for price fluctuations.

Suggested Citation

  • Yoshi Fujiwara & Hirokazu Fujisaka, 2001. "Coarse-graining and Self-similarity of Price Fluctuations," Papers cond-mat/0101175, arXiv.org.
  • Handle: RePEc:arx:papers:cond-mat/0101175
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/cond-mat/0101175
    File Function: Latest version
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kaizoji, Taisei & Bornholdt, Stefan & Fujiwara, Yoshi, 2002. "Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 441-452.
    2. Turiel, Antonio & PĂ©rez-Vicente, Conrad J., 2003. "Multifractal geometry in stock market time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 322(C), pages 629-649.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:cond-mat/0101175. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.