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The origins of multifractality in financial time series and the effect of extreme events

✍ Scribed by Green, Elena; Hanan, William; Heffernan, Daniel


Book ID
125396343
Publisher
Springer
Year
2014
Tongue
English
Weight
935 KB
Volume
87
Category
Article
ISSN
1434-6036

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A classic problem in physics is the origin of fat-tailed distributions generated by complex systems. We study the distributions of stock returns measured over di erent time lags . We ΓΏnd that destroying all correlations without changing the = 1 d distribution, by shu ing the order of the daily retur