Apparent Multifractality in Financial Time Series
Centre d'Etudes de Saclay (CEA) - Service de Physique de l'Etat Condense (SPEC); Capital Fund Management - Department of Science and Finance
Capital Fund Management - Department of Science and Finance
Capital Fund Management
June 23, 1999
Working Paper No. 9906347
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
Date posted: October 19, 1999
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