Measuring multiscaling in financial time-series

DOI10.1016/J.CHAOS.2015.11.022MaRDI QIDQ508279zbMATH OpenOpenAlexWikidataFDO

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)

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

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)

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.

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Cites work

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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

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• plfit

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