| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 9727820 | Physica A: Statistical Mechanics and its Applications | 2005 | 9 Pages |
Abstract
We analyzed multifractal properties of 5-min stock returns from a period of over two years for 100 highly capitalized American companies. The two sources: fat-tailed probability distributions and non-linear 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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
J. KwapieÅ, P. OÅwie¸cimka, S. Drożdż,