Independent Colleges and Universities of Florida

Multifractal Intermittency in US Equity Markets: A Tick-Level Empirical Study

We analyze the statistical microstructure of US equity markets using 2.6 terabytes of tick-level trade data spanning 2,375 trading days (2016–2025) across all US exchanges. At 100-millisecond VWAP resolution, log returns exhibit raw kurtosis exceeding 2,987—approximately 996 time...