Working Paper No. 9906347
9 Pages Posted: 19 Oct 1999
Date Written: June 23, 1999
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.
JEL Classification: G12
Suggested Citation: 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: https://ssrn.com/abstract=169088 or http://dx.doi.org/10.2139/ssrn.169088