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Properties of low-variability periods in financial time series

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  • Kitt, Robert
  • Kalda, Jaan

Abstract

Properties of low-variability periods in the time series are analysed. The theoretical approach is used to show the relationship between the multi-scaling of low-variability periods and multi-affinity of the time series. It is shown that this technically simple method is capable of revealing more details about time series than the traditional multi-affine analysis. We have applied this scaling analysis to financial time series: a number of daily currency and stock index time series. The results show a good scaling behaviour for different model parameters. The analysis of high-frequency USD-EUR exchange rate data confirmed the theoretical expectations.

Suggested Citation

  • Kitt, Robert & Kalda, Jaan, 2005. "Properties of low-variability periods in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 345(3), pages 622-634.
    • Handle: RePEc:eee:phsmap:v:345:y:2005:i:3:p:622-634
    DOI: 10.1016/j.physa.2004.07.015
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    References listed on IDEAS

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    1. Mantegna,Rosario N. & Stanley,H. Eugene, 2007. "Introduction to Econophysics," Cambridge Books, Cambridge University Press, number 9780521039871, September.
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    Cited by:

    1. Andria, Joseph & di Tollo, Giacomo & Kalda, Jaan, 2022. "The predictive power of power-laws: An empirical time-arrow based investigation," Chaos, Solitons & Fractals, Elsevier, vol. 162(C).

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