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Scale invariant distribution and multifractality of volatility multipliers in stock markets

✍ Scribed by Zhi-Qiang Jiang; Wei-Xing Zhou

Publisher: Elsevier Science
Year: 2007
Tongue: English
Weight: 501 KB
Volume: 381
Category: Article
ISSN: 0378-4371
DOI: 10.1016/j.physa.2007.03.015

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✦ Synopsis

The statistical properties of the multipliers of the absolute returns are investigated using 1-min 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 ¼ 2 are well approximated by a normal distribution and the most probable multiplier scales as a power law with 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.

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