Barunik, Jozef; Aste, Tomaso; Di Matteo, Tiziana; Liu, Ruipeng
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]
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.