Hierarchical structure of stock price fluctuations in financial markets

DOI10.1088/1742-5468/2012/12/P12016MaRDI QIDQ3301322zbMATH OpenFDO

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)

Full work available at URL https://arxiv.org/abs/1209.4175

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial markets (91G15)

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.

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Cites work

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Cited in

(4)

• Influence network in the Chinese stock market
• Hierarchical financial structures with money cascade
• Multifractal nature of stock exchange prices
• Dynamic structurization and fractality of information and investment flows

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