Hierarchical structure of stock price fluctuations in financial markets
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Publication:3301322
DOI10.1088/1742-5468/2012/12/P12016zbMATH Open1456.91120arXiv1209.4175MaRDI QIDQ3301322FDOQ3301322
Authors: Ya-Chun Gao, Shi-min Cai, Bing-Hong Wang 
Publication date: 11 August 2020
Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)
Abstract: The financial market and turbulence have been broadly compared on account of the same quantitative methods and several common stylized facts they shared. In this paper, the She-Leveque (SL) hierarchy, proposed to explain the anomalous scaling exponents deviated from Kolmogorov monofractal scaling of the velocity fluctuation in fluid turbulence, is applied to study and quantify the hierarchical structure of stock price fluctuations in financial markets. We therefore observed certain interesting results: (i) The hierarchical structure related to multifractal scaling generally presents in all the stock price fluctuations we investigated. (ii) The quantitatively statistical parameters that describes SL hierarchy are different between developed financial markets and emerging ones, distinctively. (iii) For the high-frequency stock price fluctuation, the hierarchical structure varies with different time period. All these results provide a novelty analogy in turbulence and financial market dynamics and a insight to deeply understand the multifractality in financial markets.
Full work available at URL: https://arxiv.org/abs/1209.4175
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