Fractal Measures in Market Microstructure Research

Yalamova, Rossitsa

Volume 16, Numbers 1 & 2 / March/June , Pages 1-154

Multinational Finance Journal, 2012, vol. 16, no. 1/2, pp. 137-154

Rossitsa Yalamova , University of Lethbridge, Canada Corresponding Author

Abstract:
This paper proposes the generalized use of fractional Brownian motion in a multifractal trading time framework to reveal variation in the index price diffusion process that appears before and after 'extreme' events of distinct origin. "Crashes" following internal self-organization and those caused by external shocks differ in the relaxation process. The goal of this paper is to test for differences in the price diffusion process related to the organization of trading.

Keywords : trading mechanics; multifractal spectrum; extreme events
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