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Coarse-graining and Self-similarity of Price Fluctuations

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  • Yoshi Fujiwara
  • Hirokazu Fujisaka

Abstract

We propose a new approach for analyzing price fluctuations in their strongly correlated regime ranging from minutes to months. This is done by employing a self-similarity assumption for the magnitude of coarse-grained price fluctuation or volatility. The existence of a Cramer function, the characteristic function for self-similarity, is confirmed by analyzing real price data from a stock market. We also discuss the close interrelation among our approach, the scaling-of-moments method and the multifractal approach for price fluctuations.

Suggested Citation

  • Yoshi Fujiwara & Hirokazu Fujisaka, 2001. "Coarse-graining and Self-similarity of Price Fluctuations," Papers cond-mat/0101175, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/0101175
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    Cited by:

    1. Kaizoji, Taisei & Bornholdt, Stefan & Fujiwara, Yoshi, 2002. "Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 441-452.
    2. Turiel, Antonio & Pérez-Vicente, Conrad J., 2003. "Multifractal geometry in stock market time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 322(C), pages 629-649.

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