文献类型：期刊文献

英文题名：Scale invariant distribution and multifractality of volatility multipliers in stock markets

作者：Jiang, Zhi-Qiang[1,2]; Zhou, Wei-Xing[1,2,3]

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Sch Sci, Shanghai 200237, Peoples R China;[3]E China Univ Sci & Technol, Res Ctr Syst Engn, Shanghai 200237, Peoples R China

年份：2007

卷号：381

期号：1-2

起止页码：343

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20072210633819);WOS:【SCI-EXPANDED(收录号:WOS:000247700900029)】；

语种：英文

外文关键词：econophysics; stock markets; multiplier; volatility; scale invariance; multifractal analysis

摘要：The statistical properties of the multipliers of the absolute returns are investigated using 1-min high-frequency data of financial time series. The multiplier distribution is found to be independent of the box size s when s is larger than some crossover scale, providing direct evidence of the existence of scale invariance in financial data. The multipliers with base a = 2 are well approximated by a normal distribution and the most probable multiplier scales as a power law with respect to the base a. We unravel that the volatility multipliers possess multifractal nature which is independent of construction of the multipliers, that is, the values of s and a. (c) 2007 Elsevier B.V. All rights reserved.