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Components of multifractality in high-frequency stock returns

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  • J. Kwapien
  • P. Oswiecimka
  • S. Drozdz

Abstract

We analyzed multifractal properties of 5-minute stock returns from a period of over two years for 100 highly capitalized American companies. The two sources: fat-tailed probability distributions and nonlinear temporal correlations, vitally contribute to the observed multifractal dynamics of the returns. For majority of the companies the temporal correlations constitute a much more significant related factor, however.

Suggested Citation

  • J. Kwapien & P. Oswiecimka & S. Drozdz, 2004. "Components of multifractality in high-frequency stock returns," Papers cond-mat/0411112, arXiv.org.
  • Handle: RePEc:arx:papers:cond-mat/0411112
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