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Apparent multifractality in financial time series |
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| Authors: | J-P Bouchaud M Potters M Meyer |
| Institution: | (1) Science & Finance, 109-111 rue Victor Hugo, 92532 Levallois Cedex, France, FR;(2) Service de Physique de l'état Condensé, Centre d'études de Saclay, Orme des Merisiers, 91191 Gif-sur-Yvette Cedex, France, FR |
| Abstract: | We present a exactly soluble model for financial time series that mimics the long range volatility correlations known to be present in financial data. Although our model is asymptotically `monofractal' by construction, it shows apparent multiscaling as a result of a slow crossover phenomenon on finite time scales. Our results suggest that it might be hard to distinguish apparent and true multifractal behavior in financial data. Our model also leads to a new family of stable laws for sums of correlated random variables. Received 30 June 1999 |
| Keywords: | PACS 02 50 -r Probability theory stochastic processes and statistics - 05 40 -a Fluctuation phenomena random processes noise and Brownian motion - 89 90 +n Other topics of general interest to physicists (restricted to new topics in section 89) |
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