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Scale invariant distribution and multifractality of volatility multipliers in stock markets

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  • Jiang, Zhi-Qiang
  • Zhou, Wei-Xing

Abstract

The statistical properties of the multipliers of the absolute returns are investigated using 1-min high-frequency data of financial time series. The multiplier distribution is found to be independent of the box size s when s is larger than some crossover scale, providing direct evidence of the existence of scale invariance in financial data. The multipliers with base a=2 are well approximated by a normal distribution and the most probable multiplier scales as a power law with respect to the base a. We unravel that the volatility multipliers possess multifractal nature which is independent of construction of the multipliers, that is, the values of s and a.

Suggested Citation

  • Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2007. "Scale invariant distribution and multifractality of volatility multipliers in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 381(C), pages 343-350.
    • Handle: RePEc:eee:phsmap:v:381:y:2007:i:c:p:343-350
    DOI: 10.1016/j.physa.2007.03.015
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