Coarse-graining and Self-similarity of Price Fluctuations
arXiv:cond-mat/0101175 · doi:10.1016/S0378-4371(01)00135-2
Abstract
We propose a new approach for analyzing price fluctuations in their strongly correlated regime ranging from minutes to months. This is done by employing a self-similarity assumption for the magnitude of coarse-grained price fluctuation or volatility. The existence of a Cramer function, the characteristic function for self-similarity, is confirmed by analyzing real price data from a stock market. We also discuss the close interrelation among our approach, the scaling-of-moments method and the multifractal approach for price fluctuations.
9 pages, 3 figures