2007/11/16 by Jeferson de Souza, de Souza, Jeferson, Silvio M. Duarte Queiros +2
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #Data Analysis #FOS: Economics and business #FOS: Physical sciences #Financial Risk and Volatility Modeling #Statistical Finance (q-fin.ST) #Statistics and Probability (physics.data-an) #Theoretical and Computational Physics #physics.data-an #q-fin.ST
paper · pdf · doi:10.48550/arxiv.0711.2550
20 pages
arxiv created 2007/11/16 · openalex publication_date 2007/11/16 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this manuscript we present a comprehensive study on the multifractal properties of high-frequency price fluctuations and instantaneous volatility of the equities that compose Dow Jones Industrial Average. The analysis consists about quantification of dependence and non-Gaussianity on the multifractal character of financial quantities. Our results point out an equivalent influence of dependence and non-Gaussianity on the multifractality of time series. Moreover, we analyse l-diagrams of price fluctuations. In the latter case, we show that the fractal dimension of these maps is basically independent of the lag between price fluctuations that we assume.