Liu, Ruipeng, Aste, Tomaso and Di Matteo, T. 2007, Multi-scaling modelling in financial markets, in Proceedings of SPIE--the International Society for Optical Engineering : Complex systems II, SPIE Digital Library, Bellingham, Wash..
Proceedings of SPIE--the International Society for Optical Engineering : Complex systems II
International Society for Optical Engineering Conference
SPIE Digital Library
Place of publication
In the recent years, a new wave of interest spurred the involvement of complexity in finance which might provide a guideline to understand the mechanism of financial markets, and researchers with different backgrounds have made increasing contributions introducing new techniques and methodologies. In this paper, Markov-switching multifractal models (MSM) are briefly reviewed and the multi-scaling properties of different financial data are analyzed by computing the scaling exponents by means of the generalized Hurst exponent H(q). In particular we have considered H(q) for price data, absolute returns and squared returns of different empirical financial time series. We have computed H(q) for the simulated data based on the MSM models with Binomial and Lognormal distributions of the volatility components. The results demonstrate the capacity of the multifractal (MF) models to capture the stylized facts in finance, and the ability of the generalized Hurst exponents approach to detect the scaling feature of financial time series.
Field of Research
150299 Banking, Finance and Investment not elsewhere classified
Socio Economic Objective
970115 Expanding Knowledge in Commerce, Management, Tourism and Services
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.
Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO.
If you believe that your rights have been infringed by this repository, please contact firstname.lastname@example.org.
Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact email@example.com.