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dc.contributor.authorSelçuk, F.en_US
dc.contributor.authorGençay, R.en_US
dc.date.accessioned2016-02-08T10:18:44Z
dc.date.available2016-02-08T10:18:44Z
dc.date.issued2006en_US
dc.identifier.issn0378-4371
dc.identifier.urihttp://hdl.handle.net/11693/23760
dc.description.abstractThis paper provides new empirical evidence for intraday scaling behavior of stock market returns utilizing a 5 min stock market index (the Dow Jones Industrial Average) from the New York Stock Exchange. It is shown that the return series has a multifractal nature during the day. In addition, we show that after a financial "earthquake", aftershocks in the market follow a power law, analogous to Omori's law. Our findings indicate that the moments of the return distribution scale nonlinearly across time scales and accordingly, volatility scaling is nonlinear under such a data generating mechanism. © 2006 Elsevier B.V. All rights reserved.en_US
dc.language.isoEnglishen_US
dc.source.titlePhysica A : Statistical Mechanics and its Applicationsen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.physa.2005.12.019en_US
dc.subjectIntraday returnen_US
dc.subjectIntraday volatilityen_US
dc.subjectMultifractalsen_US
dc.subjectOmori's lawen_US
dc.subjectPivotal statisticsen_US
dc.subjectScalingen_US
dc.subjectSelf-similarityen_US
dc.subjectControl nonlinearitiesen_US
dc.subjectData reductionen_US
dc.subjectFractalsen_US
dc.subjectMarketingen_US
dc.subjectStatistical mechanicsen_US
dc.subjectInventory controlen_US
dc.titleIntraday dynamics of stock market returns and volatilityen_US
dc.typeArticleen_US
dc.departmentDepartment of Economics
dc.citation.spage375en_US
dc.citation.epage387en_US
dc.citation.volumeNumber367en_US
dc.identifier.doi10.1016/j.physa.2005.12.019en_US
dc.publisherElsevier BVen_US
dc.identifier.eissn1873-2119


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