Abstract

http://ssrn.com/abstract=169088
 
 

References (23)



 


 



Apparent Multifractality in Financial Time Series


Jean-Philippe Bouchaud


Capital Fund Management

Marc Potters


Capital Fund Management

Martin Meyer


Capital 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


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Date posted: October 19, 1999  

Suggested Citation

Bouchaud , Jean-Philippe and Potters, Marc and Meyer, Martin, Apparent Multifractality in Financial Time Series (June 23, 1999). Working Paper No. 9906347. Available at SSRN: http://ssrn.com/abstract=169088 or http://dx.doi.org/10.2139/ssrn.169088

Contact Information

Jean-Philippe Bouchaud
Capital Fund Management ( email )
23 rue de l'Université
Paris, 75007
France
+33 1 49 49 59 20 (Phone)
Marc Potters (Contact Author)
Capital Fund Management ( email )
23 rue de l'Université
Paris, 75007
France
+33 1 49 49 59 10 (Phone)
+33 1 47 70 17 40 (Fax)
HOME PAGE: http://www.cfm.fr
Martin Meyer
Capital Fund Management ( email )
23 rue de l'Université
Paris, 75007
France
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