Fractal market time

McCulloch, JD

Fractal market time

McCulloch, JD

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Publisher:: Elsevier
Publication Type:: Journal Article
Citation:: Journal of Empirical Finance, 2012, 19 (5), pp. 686 - 701
Issue Date:: 2012-01

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Field	Value	Language
dc.contributor.author	McCulloch, JD	en_US
dc.date.issued	2012-01	en_US
dc.identifier.citation	Journal of Empirical Finance, 2012, 19 (5), pp. 686 - 701	en_US
dc.identifier.issn	0927-5398	en_US
dc.identifier.uri	http://hdl.handle.net/10453/22641
dc.description.abstract	Ané and Geman (2000) observed that market returns appear to follow a conditional Gaussian distribution where the conditioning is a stochastic clock based on cumulative transaction count. The existence of long range dependence in the squared and absolute value of market returns is a `stylized fact and researchers have interpreted this to imply that the stochastic clock is self-similar, multi-fractal (Mandelbrot, Fisher and Calvet, 1997) or mono-fractal (Heyde, 1999). We model the market stochastic clock as the stochastic integrated intensity of a doubly stochastic Poisson (Cox) point process of the cumulative transaction count of stocks traded on the New York Stock Exchange (NYSE). A comparative empirical analysis of a self-normalized version of the stochastic integrated intensity is consistent with a mono-fractal market clock with a Hurst exponent of 0.75.	en_US
dc.publisher	Elsevier	en_US
dc.relation.ispartof	Journal of Empirical Finance	en_US
dc.relation.isbasedon	10.1016/j.jempfin.2012.08.001	en_US
dc.subject.classification	Finance	en_US
dc.title	Fractal market time	en_US
dc.type	Journal Article
utslib.citation.volume	5	en_US
utslib.citation.volume	19	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1403 Econometrics	en_US
utslib.for	1402 Applied Economics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.issue	5	en_US
pubs.volume	19	en_US

Abstract:

Ané and Geman (2000) observed that market returns appear to follow a conditional Gaussian distribution where the conditioning is a stochastic clock based on cumulative transaction count. The existence of long range dependence in the squared and absolute value of market returns is a `stylized fact and researchers have interpreted this to imply that the stochastic clock is self-similar, multi-fractal (Mandelbrot, Fisher and Calvet, 1997) or mono-fractal (Heyde, 1999). We model the market stochastic clock as the stochastic integrated intensity of a doubly stochastic Poisson (Cox) point process of the cumulative transaction count of stocks traded on the New York Stock Exchange (NYSE). A comparative empirical analysis of a self-normalized version of the stochastic integrated intensity is consistent with a mono-fractal market clock with a Hurst exponent of 0.75.

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http://hdl.handle.net/10453/22641