Multifractality in the stock market: price increments versus waiting times
نویسندگان
چکیده
منابع مشابه
Multifractality in the stock market: price increments versus waiting times
By applying the multifractal detrended fluctuation analysis to the high-frequency tick-bytick data from Deutsche Börse both in the price and in the time domains, we investigate multifractal properties of the time series of logarithmic price increments and inter-trade intervals of time. We show that both quantities reveal multiscaling and that this result holds across different stocks. The origi...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2005
ISSN: 0378-4371
DOI: 10.1016/j.physa.2004.08.025