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Apparent Multifractality in Financial Time Series

Working Paper No. 9906347

9 Pages Posted: 19 Oct 1999  

Jean-Philippe Bouchaud

Capital Fund Management

Marc Potters

Capital Fund Management

Martin Meyer

Capital Fund Management

Date Written: June 23, 1999

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.

JEL Classification: G12

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

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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