Components of multifractality in high-frequency stock returns
arXiv:cond-mat/0411112 · doi:10.1016/j.physa.2004.11.019
Abstract
We analyzed multifractal properties of 5-minute stock returns from a period of over two years for 100 highly capitalized American companies. The two sources: fat-tailed probability distributions and nonlinear 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.
to appear in Physica A
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