کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
978151 | 1645121 | 2007 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Scale invariant distribution and multifractality of volatility multipliers in stock markets
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
The statistical properties of the multipliers of the absolute returns are investigated using 1-min high-frequency data of financial time series. The multiplier distribution is found to be independent of the box size s when s is larger than some crossover scale, providing direct evidence of the existence of scale invariance in financial data. The multipliers with base a=2a=2 are well approximated by a normal distribution and the most probable multiplier scales as a power law with respect to the base a. We unravel that the volatility multipliers possess multifractal nature which is independent of construction of the multipliers, that is, the values of s and a.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 381, 15 July 2007, Pages 343–350
Journal: Physica A: Statistical Mechanics and its Applications - Volume 381, 15 July 2007, Pages 343–350
نویسندگان
Zhi-Qiang Jiang, Wei-Xing Zhou,