Multi-scaling in finance

The most suitable paradigms and tools for investigating the scaling structure of financial time series are reviewed and discussed in the light of some recent empirical results. Different types of scaling are distinguished and several definitions of scaling exponents, scaling and multi-scaling proces...

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Veröffentlicht in:	Quantitative finance 2007-02, Vol.7 (1), p.21-36
1. Verfasser:	Di Matteo, T.
Format:	Artikel
Sprache:	eng
Schlagworte:	Econophysics Estimating techniques Financial analysis Multifractal formalisms Scaling Studies Time series Time series analysis
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description	The most suitable paradigms and tools for investigating the scaling structure of financial time series are reviewed and discussed in the light of some recent empirical results. Different types of scaling are distinguished and several definitions of scaling exponents, scaling and multi-scaling processes are given. Methods to estimate such exponents from empirical financial data are reviewed. A detailed description of the Generalized Hurst exponent approach is presented and substantiated with an empirical analysis across different markets and assets.
doi_str_mv	10.1080/14697680600969727
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source	RePEc; Business Source Complete; Taylor & Francis:Master (3349 titles)
subjects	Econophysics Estimating techniques Financial analysis Multifractal formalisms Scaling Studies Time series Time series analysis
title	Multi-scaling in finance
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