Measuring multiscaling in financial time-series

DOI10.1016/j.chaos.2015.11.022zbMath1415.91323arXiv1509.05471OpenAlexW2964086286WikidataQ105552734 ScholiaQ105552734MaRDI QIDQ508279

R. J. Buonocore, Tiziana Di Matteo, Tomaso Aste

Publication date: 10 February 2017

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

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

zbMATH Keywords

multiscalingcentral limit theoremautocorrelationmultifractalitypower 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)

Related Items (4)

Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality ⋮ How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost ⋮ Complexity in quantitative finance and economics ⋮ On the interplay between multiscaling and stock dependence

Uses Software

• plfit

Cites Work

• Unnamed Item
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