多尺度与存量依赖的相互作用
On the interplay between multiscaling and stocks dependence
摘要：
我们发现一个非线性的依赖关系的程度的指标之间的多尺度的日志价格时间序列的股票和股票的平均相关性相对于其他股票在同一个市场上交易。这一结果是一个强有力的程式化事实，适用于不同的金融市场。为了寻找可能的混杂效应，我们以股票的资本化和股票的对数收益率的峰度为条件来研究这个结果。我们发现，与资本化的对数和峰度的对数的线性依赖并不能解释所观察到的程式化的事实，我们解释为起源于更深层次的关系。
英文摘要：
We find a nonlinear dependence between an indicator of the degree of multiscaling of log-price time series of a stock and the average correlation of the stock with respect to the other stocks traded in the same market. This result is a robust stylized fact holding for different financial markets. We investigate this result conditional on the stocks' capitalization and on the kurtosis of stocks' log-returns in order to search for possible confounding effects. We show that a linear dependence with the logarithm of the capitalization and the logarithm of kurtosis does not explain the observed stylized fact, which we interpret as being originated from a deeper relationship.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
