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Apparent Multifractality in Financial Time SeriesJean-Philippe BouchaudCentre d'Etudes de Saclay (CEA) - Service de Physique de l'Etat Condense (SPEC); Capital Fund Management - Department of Science and Finance Marc PottersCapital Fund Management - Department of Science and Finance Martin MeyerCapital Fund Management June 23, 1999 Working Paper No. 9906347 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.
Number of Pages in PDF File: 9 JEL Classification: G12 working papers seriesDate posted: October 19, 1999Suggested CitationContact Information
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