Multi-scaling Modelling in Financial Markets
In the recent years, a new wave of interest spurred the involvement of complexity in finance which might provide a guideline to understand the mechanism of financial markets, and researchers with different backgrounds have made increasing contributions introducing new techniques and methodologies. In this paper, Markov-switching multifractal models (MSM) are briefly reviewed and the multi-scaling properties of different financial data are analyzed by computing the scaling exponents by means of...[Show more]
|Collections||ANU Research Publications|
|Source:||Complex Systems II (Proceedings of SPIE Vol. 6802 )|
|01_Liu_Multi-scaling_Modelling_in_2008.pdf||337.3 kB||Adobe PDF||Request a copy|
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