aInstitute of Nuclear Physics, Polish Academy of Sciences, PL-31-342 Kraków, Poland
bInstitute of Physics, University of Rzeszów, PL-35-310 Rzeszów, Poland
Abstract:
We analyzed multifractal properties of 5-min stock returns from a period of over two years for 100 highly capitalized American companies. The two sources: fat-tailed probability distributions and non-linear temporal correlations, vitally contribute to the observed multifractal dynamics of the returns. For majority of the companies the temporal correlations constitute a much more significant related factor, however.