Apparent multifractality in financial time series
Science & Finance, 109-111 rue Victor Hugo, 92532 Levallois Cedex, France
2 Service de Physique de l'État Condensé, Centre d'études de Saclay, Orme des Merisiers, 91191 Gif-sur-Yvette Cedex, France
Published online: 15 February 2000
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.
PACS: 73.23.-b – 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)
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2000