6533b853fe1ef96bd12ac1ac
RESEARCH PRODUCT
On the interplay between multiscaling and stocks dependence
R. J. BuonocoreT. Di MatteoT. Di MatteoGiuseppe BrandiRosario N. MantegnaRosario N. Mantegnasubject
Multivariate propertiePhysics::Physics and SocietyStatistical Finance (q-fin.ST)050208 financeUnivariate properties05 social sciencesQuantitative Finance - Statistical FinanceFOS: Economics and businessMultiscalingNonlinear systemUnivariate propertieComputer Science::Computational Engineering Finance and Science0502 economics and businessEconometrics050207 economicsDependenceGeneral Economics Econometrics and FinanceFinanceStock (geology)Mathematicsdescription
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.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2019-08-21 |