Authors
Citation
A. Bershadskii, Multifractal diffusion in NASDAQ, J PHYS A, 34(10), 2001, pp. L127-L130
Citations number
13
Categorie Soggetti
Physics
Journal title
JOURNAL OF PHYSICS A-MATHEMATICAL AND GENERAL
ISSN journal
03054470
→ ACNP
Volume
34
Issue
10
Year of publication
2001
Pages
L127 - L130
Database
ISI
SICI code
0305-4470(20010316)34:10<L127:MDIN>2.0.ZU;2-Q
Abstract
It is shown that fluctuations of NASDAQ increments exhibit two scaling inte
rvals: one (for relatively short-time increments, up to five months) is qua
si-Brownian and another (for relatively long-time increments) is multifract
al. For the multifractal diffusion a new type of scaling symmetry has been
observed.