Anomalous volatility scaling in high frequency financial data

DOI10.1016/J.PHYSA.2015.12.022zbMath1400.62237arXiv1503.08465OpenAlexW2107259214WikidataQ105576184 ScholiaQ105576184MaRDI QIDQ1619205

Tomaso Aste, Noemi Nava, Tiziana Di Matteo

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.08465

zbMATH Keywords

Hurst exponentmarket efficiencyempirical mode decompositionmulti-scaling

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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