Measuring multiscaling in financial time-series

DOI10.1016/J.CHAOS.2015.11.022zbMATH Open1415.91323arXiv1509.05471OpenAlexW2964086286WikidataQ105552734 ScholiaQ105552734MaRDI QIDQ508279FDOQ508279

Authors: R. J. Buonocore, Tomaso Aste, T. Di Matteo 

Publication date: 10 February 2017

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Abstract: We discuss the origin of multiscaling in financial time-series and investigate how to best quantify it. Our methodology consists in separating the different sources of measured multifractality by analysing the multi/uni-scaling behaviour of synthetic time-series with known properties. We use the results from the synthetic time-series to interpret the measure of multifractality of real log-returns time-series. The main finding is that the aggregation horizon of the returns can introduce a strong bias effect on the measure of multifractality. This effect can become especially important when returns distributions have power law tails with exponents in the range [2,5]. We discuss the right aggregation horizon to mitigate this bias.

Full work available at URL: https://arxiv.org/abs/1509.05471

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zbMATH Keywords

autocorrelationcentral limit theoremmultifractalitymultiscalingpower law tails

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Fractals (28A80)

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Cited In (7)

• Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality
• EMPIRICAL TESTING OF MULTIFRACTALITY OF FINANCIAL TIME SERIES BASED ON WTMM
• How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost
• Multi-scaling in finance
• On the interplay between multiscaling and stock dependence
• Complexity in quantitative finance and economics
• Alternative measure of multifractal content and its application in finance

Uses Software

• plfit

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