Apparent multifractality in financial time series
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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|Date of creation:||Jun 1999|
|Date of revision:|
|Publication status:||Published in European Physical Journal B 13 595-599 (2000) [reprint]|
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