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Coarse-graining and Self-similarity of Price Fluctuations

Yoshi Fujiwara·Hirokazu Fujisaka
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Abstract

We propose a new approach for analyzing price fluctuations in their strongly correlated regime ranging from minutes to months. This is done by employing a self-similarity assumption for the magnitude of coarse-grained price fluctuation or volatility. The existence of a Cramer function, the characteristic function for self-similarity, is confirmed by analyzing real price data from a stock market. We also discuss the close interrelation among our approach, the scaling-of-moments method and the multifractal approach for price fluctuations.

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Yoshi Fujiwara, Hirokazu Fujisaka. 2001-01-12. Coarse-graining and Self-similarity of Price Fluctuations. https://doi.org/10.1016/s0378-4371(01)00135-2

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