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.
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].
On the interplay between multiscaling and stock dependence
Mantegna R. N.;
2019-01-01
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.
| File | Dimensione | Formato | |
|---|---|---|---|
|
buonocore2019.pdf
Solo gestori archvio
Tipologia:
Versione Editoriale
Dimensione
3.01 MB
Formato
Adobe PDF
|
3.01 MB | Adobe PDF | Visualizza/Apri Richiedi una copia |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
