Di Matteo, Tiziana
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...[Show more]
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.