Components of multifractality in high-frequency stock returns

• DOI: 10.1016/j.physa.2004.11.019
• Publication Date: 2004-12-10T14:17:14Z
• Authors: J. Kwapień; P. Oświe¸cimka; S. Drożdż
• Keywords: Stock (firearms)

We analyzed multifractal properties of 5-minute stock returns from a period of over two years for 100 highly capitalized American companies. The two sources: fat-tailed probability distributions and nonlinear 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.<br/>to appear in Physica A<br/>