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Multi-scaling modelling in financial markets

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..

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Title Multi-scaling modelling in financial markets
Author(s) Liu, Ruipeng
Aste, Tomaso
Di Matteo, T.
Conference name SPIE Microelectronics, MEMS, and Nanotechnology. Conference (2007 : Canberra, A.C.T.)
Conference location Canberra, A.C.T.
Conference dates 4-7 December 2007
Title of proceedings Proceedings of SPIE--the International Society for Optical Engineering : Complex systems II
Editor(s) [Unknown]
Publication date 2007
Conference series International Society for Optical Engineering Conference
Publisher SPIE Digital Library
Place of publication Bellingham, Wash.
Summary 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.
ISBN 9780819469731
Language eng
Field of Research 150299 Banking, Finance and Investment not elsewhere classified
Socio Economic Objective 970115 Expanding Knowledge in Commerce, Management, Tourism and Services
HERDC Research category E1.1 Full written paper - refereed
ERA Research output type E Conference publication
HERDC collection year 2008
Copyright notice ©2008, SPIE--The International Society for Optical Engineering
Persistent URL http://hdl.handle.net/10536/DRO/DU:30019262

Document type: Conference Paper
Collections: School of Accounting, Economics and Finance
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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 drosupport@deakin.edu.au.