STATISTICAL ANALYSIS BY WAVELET LEADERS REVEALS DIFFERENCES IN MULTI-FRACTAL CHARACTERISTICS OF STOCK PRICE AND RETURN SERIES IN TURKISH HIGH FREQUENCY DATA
Why this work is in the frame
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Bibliographic record
Abstract
The price and return time series are two distinct features of any financial asset. Hence, examining the evolution of multiscale characteristics of price and returns sequential data in time domain would be helpful in gaining a better understanding of the dynamical evolution mechanism of the financial asset as a complex system. In fact, this is important to understand their respective dynamics and to design their appropriate predictive models. The main purpose of the current work is to investigate the multiscale fractals of price and return high frequency data in Turkish stock market. In this regard, the wavelet leaders computational method is applied to each high frequency data to reveal its multi-fractal behavior. In particular, the method is applied to a large set of Turkish stocks and statistical results are performed to check for (i) presence of multi-fractals in price and return series and (ii) differences between prices and returns in terms of multi-fractals. Our statistical results show strong evidence that high frequency price and return data exhibit multi-fractal dynamics. In addition, they show evidence of distinct fractal characteristics on different scales between price and return series. Furthermore, our statistical results show evidence of differences in local fluctuation characteristics of price and return time series. Therefore, differences in local characteristics are useful to build specific predictive models for each type of data for better modeling and prediction to generate profits. Besides, we found evidence that both long-range correlations and fat-tail distributions contribute to the multifractality in Turkish stocks. This finding can be attributed to the major role played by international investors in increasing the volatility of Turkish stocks.
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Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.001 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.000 |
| Bibliometrics | 0.001 | 0.002 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.001 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it