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Multi-scaling Modelling in Financial Markets

Liu, Ruipeng; Aste, Tomaso; Di Matteo, Tiziana


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]

CollectionsANU Research Publications
Date published: 2008
Type: Conference paper
Source: Complex Systems II (Proceedings of SPIE Vol. 6802 )
DOI: 10.1117/12.759585


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