Apparent multifractality in financial time series

  • J.-P. Bouchaud
  • M. Potters
  • M. Meyer
Article

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 asymptotically `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.

PACS. 02.50.-r Probability theory, stochastic processes, and statistics 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion 89.90.+n Other topics of general interest to physicists (restricted to new topics in section 89) 

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Copyright information

© EDP Sciences, Springer-Verlag, Società Italiana di Fisica 2000

Authors and Affiliations

  • J.-P. Bouchaud
    • 1
  • M. Potters
    • 1
  • M. Meyer
    • 1
  1. 1.Science & FinanceLevallois CedexFrance
  2. 2.Service de Physique de l'État Condensé,Centre d'études de SaclayGif-sur-Yvette CedexFrance

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