Berlin 2008 – wissenschaftliches Programm

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AKSOE: Arbeitskreis Physik sozio-ökonomischer Systeme

AKSOE 16: Financial Markets and Risk Management III

AKSOE 16.4: Vortrag

Donnerstag, 28. Februar 2008, 15:00–15:30, EW 203

Multifractality and phase transition within the structure defined by the intertransaction time-intervals — •Andrzej Kasprzak¹, Josep Perelló², Jaume Masoliver², and Ryszard Kutner¹ — ¹Warsaw University, Faculty of Physics, Hoza 69, Warsaw 00-681, Poland — ²Universitat de Barcelona, Departament de Fisica Fonamental, Diagonal 647, Barcelona 08028, Spain

We considered the intertransaction time-intervals for some future contracts as a well-suited characteristics of investors activity. We observed that the moments of arbitrary order of the empirical intertransaction time-intervals possess negligible small statistical errors. Hence, we were able to find their multifractal behavior, which was well described within the continuous-time random walk formalism. We found that the spectrum of multifractality has untypical left-sided shape (where left side is closed and right one is open, slowly increasing). The multifractality can be considered here as an intermediate phenomenon between two unifractals observed for very small and asymptotically large orders of the moments. We came to the conclusion that transition between uni- and multifractal can be considered as the phase transition of the third order since discontinuity (of the analog) of the specific heat was observed.