Multiscale behaviour of volatility autocorrelations in a financial market

DOI10.1016/S0165-1765(99)00159-7zbMATH Open1027.91515arXivcond-mat/9810232MaRDI QIDQ1606375FDOQ1606375

Authors: Michele Pasquini, Maurizio Serva 

Publication date: 1 September 2002

Published in: Economics Letters (Search for Journal in Brave)

Abstract: We perform a scaling analysis on NYSE daily returns. We show that volatility correlations are power-laws on a time range from one day to one year and, more important, that they exhibit a multiscale behaviour.

Full work available at URL: https://arxiv.org/abs/cond-mat/9810232

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zbMATH Keywords

scaling analysismultiscale behaviourvolatility correlations

Mathematics Subject Classification ID

One- and multidimensional scaling in the social and behavioral sciences (91C15)

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• Long memory processes and fractional integration in econometrics
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• Long-range dependence in the conditional variance of stock returns

Cited In (25)

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• Volatility in atmospheric temperature variability
• Trend and fractality assessment of Mexico's stock exchange
• TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY?
• Volatility return intervals analysis of the Japanese market
• Statistical regularities in the return intervals of volatility
• A micro-to-macro approach to returns, volumes and waiting times
• Correlations and multi-affinity in high frequency financial datasets
• Evolution of multifractal cross-correlations between the Argentina MERVAL Index and international commodities prices
• The origin of fat-tailed distributions in financial time series
• Scaling properties of foreign exchange volatility
• Characterization of autoregressive processes using entropic quantifiers
• STATISTICAL PROPERTIES AND MULTIFRACTAL BEHAVIORS OF MARKET RETURNS BY ISING DYNAMIC SYSTEMS
• Heterogeneous volatility cascade in financial markets
• MOVING AVERAGES AND PRICE DYNAMICS
• Multiscale behavior of a simple model for stock markets
• A STOCHASTIC MODEL FOR MULTIFRACTAL BEHAVIOR OF STOCK PRICES
• On the interplay between multiscaling and stock dependence
• Very slowly decaying auto-correlations: application to volatility in financial markets
• Statistical analysis of high frequency data from the Athens stock exchange
• Overlaying time scales in financial volatility data
• BLACK–SCHOLES–MERTON IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE
• Competition with evolution in ecology and finance
• Trading volume in financial markets: an introductory review
• Multi-scale correlations in different futures markets

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