Effective multifractal features of high-frequency price fluctuations time series and l-variability diagrams

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 the Dow Jones Industrial Average. The analysis consists about the quantification of the influence of dependence and non-Gaussianity on the multifractal character of financial quantities. Our results point out an equivalent importance of dependence and non-Gaussianity on the multifractality of time series. Moreover, we analyse e-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. (c) 2009 Elsevier Ltd. All rights reserved.