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EnglishWe find a nonlinear dependence between an indicator of the degree of multiscaling of log-price time series of a stock and the average correlation of the stock with respect to the other stocks traded in the same market. This result is a robust stylized fact holding for different financial markets. We investigate this result conditional on the stocks' capitalization and on the kurtosis of stocks' log-returns in order to search for possible confounding effects. We show that a linear dependence with the logarithm of the capitalization and the logarithm of kurtosis does not explain the observed stylized fact, which we interpret as being originated from a deeper relationship.
Buonocore R.J., Brandi G., Mantegna R.N., & Di Matteo T. (2019). On the interplay between multiscaling and stock dependence. QUANTITATIVE FINANCE, 20(1), 133-145 [10.1080/14697688.2019.1645345].
| Data di pubblicazione: | 2019 | |
| Titolo: | On the interplay between multiscaling and stock dependence | |
| Autori: | ||
| Citazione: | Buonocore R.J., Brandi G., Mantegna R.N., & Di Matteo T. (2019). On the interplay between multiscaling and stock dependence. QUANTITATIVE FINANCE, 20(1), 133-145 [10.1080/14697688.2019.1645345]. | |
| Rivista: | ||
| Digital Object Identifier (DOI): | http://dx.doi.org/10.1080/14697688.2019.1645345 | |
| Abstract: | We find a nonlinear dependence between an indicator of the degree of multiscaling of log-price time series of a stock and the average correlation of the stock with respect to the other stocks traded in the same market. This result is a robust stylized fact holding for different financial markets. We investigate this result conditional on the stocks' capitalization and on the kurtosis of stocks' log-returns in order to search for possible confounding effects. We show that a linear dependence with the logarithm of the capitalization and the logarithm of kurtosis does not explain the observed stylized fact, which we interpret as being originated from a deeper relationship. | |
| Appare nelle tipologie: | 1.01 Articolo in rivista |
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http://hdl.handle.net/10447/409359
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