Effective multifractal features of high-frequency price fluctuations time series and ℓ-variability diagrams

In this manuscript we present a comprehensive study on the multifractal properties of high-frequency price fluctuations and instantaneous volatility of the equities that compose the Dow Jones Industrial Average. The analysis consists about the quantification of the influence of dependence and non-Gaussianity on the multifractal character of financial quantities. Our results point out an equivalent importance of dependence and non-Gaussianity on the multifractality of time series. Moreover, we analyse ℓ-diagrams of price fluctuations. In the latter case, we show that the fractal dimension of these maps is basically independent of the lag between price fluctuations that we assume.