{"title":"金融时间序列的表观多重分形","authors":"J. Bouchaud, M. Potters, M. Meyer","doi":"10.2139/ssrn.169088","DOIUrl":null,"url":null,"abstract":"Abstract:We present a exactly soluble model for financial time series that mimics the long range volatility correlations known to be present in financial data. Although our model is asymptotically `monofractal' by construction, it shows apparent multiscaling as a result of a slow crossover phenomenon on finite time scales. Our results suggest that it might be hard to distinguish apparent and true multifractal behavior in financial data. Our model also leads to a new family of stable laws for sums of correlated random variables.","PeriodicalId":22452,"journal":{"name":"The European Physical Journal B - Condensed Matter and Complex Systems","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"1999-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"146","resultStr":"{\"title\":\"Apparent multifractality in financial time series\",\"authors\":\"J. Bouchaud, M. Potters, M. Meyer\",\"doi\":\"10.2139/ssrn.169088\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Abstract:We present a exactly soluble model for financial time series that mimics the long range volatility correlations known to be present in financial data. Although our model is asymptotically `monofractal' by construction, it shows apparent multiscaling as a result of a slow crossover phenomenon on finite time scales. Our results suggest that it might be hard to distinguish apparent and true multifractal behavior in financial data. Our model also leads to a new family of stable laws for sums of correlated random variables.\",\"PeriodicalId\":22452,\"journal\":{\"name\":\"The European Physical Journal B - Condensed Matter and Complex Systems\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"1999-06-23\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"146\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"The European Physical Journal B - Condensed Matter and Complex Systems\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.169088\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"The European Physical Journal B - Condensed Matter and Complex Systems","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.169088","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Abstract:We present a exactly soluble model for financial time series that mimics the long range volatility correlations known to be present in financial data. Although our model is asymptotically `monofractal' by construction, it shows apparent multiscaling as a result of a slow crossover phenomenon on finite time scales. Our results suggest that it might be hard to distinguish apparent and true multifractal behavior in financial data. Our model also leads to a new family of stable laws for sums of correlated random variables.
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