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ROSARIO NUNZIO MANTEGNA

On the interplay between multiscaling and stock dependence

  • Autori: Buonocore R.J.; Brandi G.; Mantegna R.N.; Di Matteo T.
  • Anno di pubblicazione: 2019
  • Tipologia: Articolo in rivista
  • Parole Chiave: Dependence; Multiscaling; Multivariate properties; Univariate properties;
  • OA Link: http://hdl.handle.net/10447/409359

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.