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Understanding the source of multifractality in financial markets

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]

CollectionsANU Research Publications
Date published: 2012
Type: Journal article
Source: Physica A: Statistical mechanics and its applications
DOI: 10.1016/j.physa.2012.03.037


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