Apparent multifractality in financial time series

Abstract

We present a exactly soluble model for financial time series that mimics the long range volatility correlations known to be present in financial data. Although our model is `monofractal' by construction, it shows apparent multiscaling as a result of a slow crossover phenomenon on finite time scales. Our results suggest that it might be hard to distinguish apparent and true multifractal behavior in financial data. Our model also leads to a new family of stable laws for sums of correlated random variables.

Latex 9 pp with 3 postscript figures (in-text)

References in corpus (4)

• Correlations in Economic Time Series
• Causal cascade in the stock market from the ``infrared'' to the ``ultraviolet''
• Scaling in stock market data: stable laws and beyond
• Elements for a Theory of Financial Risks

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