Scale invariant multiplier and multifractality of absolute returns in stock markets

Abstract

The statistical properties of the multipliers of the absolute returns are investigated using one-minute high-frequency data of financial time series. The multiplier distribution is found to be independent of the box size $s$ when $s$ is larger than some crossover scale, providing direct evidence of the existence of scale invariance in financial data. The multipliers with base $a=2$ are well approximated by a normal distribution and the most probable multiplier scales as a power law in respect to the base $a$. We unravel that the volatility multipliers possess multifractal nature which is independent of construction of the multipliers, that is, the values of $s$ and $a$.

ll Elsart pages including 5 figures

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• Detrended fluctuation analysis of intertrade durations
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Cited by in corpus (4)

• Multifractal analysis of Chinese stock volatilities based on partition function approach
• Multifractality in stock indexes: Fact or fiction?
• Detrended fluctuation analysis of intertrade durations
• Direct evidence for inversion formula in multifractal financial volatility measure