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Multi-scaling in Finance

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]

CollectionsANU Research Publications
Date published: 2007
Type: Journal article
Source: Quantitative Finance
DOI: 10.1080/14697680600969727


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