[billziss]

Thanks for your answer.

I am using real data of course, but I am also seeking a deeper understanding and ideally one based on first principles. This is why I asked this question.

It seems to me that if we could correctly characterize the dependence of the returns we could perhaps arrive at the correct theoretical answer that also coincides with practical observation. Mandelbrot almost gets there, but his use of multifractal trading time seems brilliant but also somewhat arbitrary (at least in the papers of his I read).