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Apparent multifractality in financial time series

Jean-Philippe Bouchaud·Marc Potters·Martin Meyer
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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.

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Jean-Philippe Bouchaud, Marc Potters, Martin Meyer. 1999-06-23. Apparent multifractality in financial time series. https://doi.org/10.1007/s100510050073

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