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Components of multifractality in high-frequency stock returns

J. Kwapien·P. Oswiecimka·S. Drozdz
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Abstract

We analyzed multifractal properties of 5-minute stock returns from a period of over two years for 100 highly capitalized American companies. The two sources: fat-tailed probability distributions and nonlinear temporal correlations, vitally contribute to the observed multifractal dynamics of the returns. For majority of the companies the temporal correlations constitute a much more significant related factor, however.

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J. Kwapien, P. Oswiecimka, S. Drozdz. 2004-11-04. Components of multifractality in high-frequency stock returns. https://doi.org/10.1016/j.physa.2004.11.019

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