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., doi: 10.1117/12.759585.
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
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