Variability trend in the scale-free fluctuation of economic and market data.
Recurring trending feature of a particular duration or size can normally be observed in the scale-free fluctuation of economic and market data. While it contradicts the notion of being scale free, trends are generally believed to exist. From the explicit result of multiplicative cascade and empirical evidence, we show the presence of local cascades underlying the recurring trend and such characteristic is in fact an integral part rather than an aberration of the scale-free fluctuation.
Lin
D C
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Department of Mechanical and Industrial Engineering, Ryerson University, Toronto, Ontario, Canada M5B 2K3.