On the interplay between multiscaling and stock dependence. Issue 1 (2nd January 2020)

• Record Type: Journal Article
• Authors: Buonocore, R. J.; Brandi, G.; Mantegna, R. N.; Di Matteo, T.
• Is Part Of: Quantitative finance. Volume 20:Issue 1(2020)
• Page Start: 133
• Page End: 145
• Publication Date: 2020-01-02
• Subjects: Multiscaling -- Dependence -- Univariate properties -- Multivariate properties; G19 -- G10; Finance -- Periodicals; Business mathematics -- Periodicals; Finance -- Mathematical models -- Periodicals; Investments -- Mathematics -- Periodicals; Economics -- Periodicals; Finances -- Modèles mathématiques -- Périodiques; 332.015118
• DOI: 10.1080/14697688.2019.1645345
• Languages: English
• ISSNs: 1469-7688

Abstract

Abstract : 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.