|InterJournal Complex Systems, 368
|Manuscript Number: |
Submission Date: 501
|Self-similarity dynamics of price fluctuations|
Subject(s): CX.44, CX.08
Category: Brief Article
Statistical features have been uncovered in recent studies of high-frequency financial data of price fluctuations (stock price/exchange rate). Among the universal features are (i) vanishing autocorrelation of returns, (ii) long-memory of their magnitudes and (iii) self-similarity. The strong correlation (ii), from minutes to months or longer, makes it hard to characterize the interesting idea (iii) through scaling of moments. We apply a recent technique developed by Fujisaka et al. for on-off intermittency (incidentally possessing similar properties to those above), and directly compute the fluctuation spectrum (which can be related to multifractal spectrum). This is a rapid communication of the result, but with several open questions including relation to possibility of apparent multifractality pointed out by some researchers.
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