Empirical scaling laws and the aggregation of non-stationary data

DOI10.1016/J.PHYSA.2013.06.049MaRDI QIDQ1673262zbMATH OpenOpenAlexFDO

Authors Lo-Bin Chang, Stuart Geman

Publication date 11 September 2018

Published in Physica A (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International

Full work available at URL https://doi.org/10.1016/j.physa.2013.06.049

zbMATH Keywords

self-similaritystochastic volatilityrandom-walk modelsmarket time

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Inference from stochastic processes and spectral analysis (62M15) Limit theorems in probability theory (60F99) Stochastic models in economics (91B70) Self-similar stochastic processes (60G18)

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Cites work

• scientific article; zbMATH DE number 2230347 (Why is no real title available?)
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Discovering stock dynamics through multidimensional volatility phases
• Encyclopedia of quantitative finance. 4 Volumes.
• FRACTAL GEOMETRY OF FINANCIAL TIME SERIES
• From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
• Multi-scaling in finance
• Scaling properties of foreign exchange volatility
• Scaling, self-similarity and multifractality in FX markets
• Switching processes in financial markets
• Time changes for Lévy processes
• Truncated Lévy process with scale-invariant behavior

Cited in

(4)

• Self-similarity in long-horizon returns
• Scaling laws in stock markets. An analysis of prices and volumes
• Coarse-graining and self-similarity of price fluctuations
• Intraday pairs trading strategies on high frequency data: the case of oil companies

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