摘要翻译：
在本文中，我们对构成道琼斯工业平均指数的股票的高频价格波动和瞬时波动的多重分形性质进行了全面的研究。分析包括金融数量的多重分形特征的相关性和非高斯性的量化。我们的结果指出了相关性和非高斯性对时间序列多重分形的等价影响。此外，我们还分析了价格波动的L-图。在后一种情况下，我们证明了这些映射的分形维数基本上与我们假设的价格波动之间的滞后无关。
---
英文标题：
《Effective multifractal features and l-variability diagrams of
  high-frequency price fluctuations time series》
---
作者：
Jeferson de Souza, Silvio M. Duarte Queiros
---
最新提交年份：
2007
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--
一级分类：Physics        物理学
二级分类：Data Analysis, Statistics and Probability        数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
--

---
英文摘要：
  In this manuscript we present a comprehensive study on the multifractal properties of high-frequency price fluctuations and instantaneous volatility of the equities that compose Dow Jones Industrial Average. The analysis consists about quantification of dependence and non-Gaussianity on the multifractal character of financial quantities. Our results point out an equivalent influence of dependence and non-Gaussianity on the multifractality of time series. Moreover, we analyse l-diagrams of price fluctuations. In the latter case, we show that the fractal dimension of these maps is basically independent of the lag between price fluctuations that we assume.
---
PDF链接：
https://arxiv.org/pdf/0711.2550