Understanding the source of multifractality in financial markets
In this paper, we use the generalized Hurst exponent approach to study the multi-scaling behavior of different financial time series. We show that this approach is robust and powerful in detecting different types of multi-scaling. We observe a puzzling phenomenon where an apparent increase in multifractality is measured in time series generated from shuffled returns, where all time-correlations are destroyed, while the return distributions are conserved. This effect is robust and it is...[Show more]
|Collections||ANU Research Publications|
|Source:||Physica A: Statistical mechanics and its applications|
|01_Barunik_Understanding_the_source_of_2012.pdf||1.28 MB||Adobe PDF||Request a copy|
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