Selçuk, F.Gençay, R.2016-02-082016-02-0820060378-4371http://hdl.handle.net/11693/23760This 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.EnglishIntraday returnIntraday volatilityMultifractalsOmori's lawPivotal statisticsScalingSelf-similarityControl nonlinearitiesData reductionFractalsMarketingStatistical mechanicsInventory controlArticle10.1016/j.physa.2005.12.0191873-2119