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Can anyone please give an intuitive explanation of multifractality in financial time series? Most definitions I came across are either purely mathematical or not in relation to finance. As for the research papers that analyze multifractality in various stock indices, they either use the $f(\alpha) \; \text{vs.} \; \alpha$ curve or other visualization methods to confirm the multifractality of the financial time series of interest yet absolutely none of them actually gives an intuitive definition or explanation of multifractality as it is related to finance and financial time series analysis.

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  • $\begingroup$ Roughly speaking, multifractal= multifrequency. The prices are affected by a large number of signals/indicators which have different frequencies - short term, long term etc. $\endgroup$ Commented Nov 1, 2021 at 12:30

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