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• W2011127561 abstract "Abstract We address the general problem of how to quantify the kinematics of time series with stationary first moments but having non stationary multifractal long-range correlated second moments. We show that a Markov process is sufficient to model important aspects of the multifractality observed in financial time series and propose a kinematic model of price fluctuations. We test the proposed model by analyzing index closing prices of the New York Stock Exchange and the DEM/USD tick-by-tick exchange rates obtained from Reuters EFX. We show that the model captures the characteristic features observed in actual financial time series, including volatility clustering, time scaling and fat tails in the probability density functions, power-law behavior of volatility correlations and, most importantly, the observed nonuniversal multifractal singularity spectrum. Motivated by our finding of strong agreement between the model and the data, we argue that at least two independent stochastic Gaussian variables are required to adequately model price fluctuations." @default.
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• W2011127561 date "2006-05-01" @default.
• W2011127561 modified "2023-10-14" @default.
• W2011127561 title "A Markov model of financial returns" @default.
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• W2011127561 doi "https://doi.org/10.1016/j.physa.2005.08.070" @default.
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