On the left we see the 8th iterate sampled at 3128 equal time steps. | ||
On the right is the graph of successive differences. | ||
Finally we see the graphs of price vs clock time differences and price vs trading time differences, plotted on the same scale. | ||
Note the conversion to trading time has removed the large outliers of the difference graph in clock time. | ||
This conversion to trading time has an interesting interpretation. | ||
The price vs trading time difference plot has none of the large jumps we see in the price vs clock time difference plot. | ||
In fact, the price vs trading time difference plot looks much more like a fractional Brownian motion difference plot. | ||
The conversion from price vs clock time to price vs trading time absorbs the large jumps into the (multifractal) time conversion graph, and makes more visible the dependence structure. |
Return to Example 1.