کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
977524 | 1480199 | 2006 | 7 صفحه PDF | دانلود رایگان |
We investigate multifractality in the Korean stock-market index KOSPI. The generalized q th order height–height correlation function shows multiscaling properties. There are two scaling regimes with a crossover time around tc=40min. We consider the original data sets and the modified data sets obtained by removing the daily jumps, which occur due to the difference between the closing index and the opening index. To clarify the origin of the multifractality, we also smooth the data through convolution with a Gaussian function. After convolution we observe that the multifractality disappears in the short-time scaling regime t
Journal: Physica A: Statistical Mechanics and its Applications - Volume 364, 15 May 2006, Pages 355–361