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- W4299681918 abstract "We discuss the origin of multiscaling in financial time-series and investigate how to best quantify it. Our methodology consists in separating the different sources of measured multifractality by analysing the multi/uni-scaling behaviour of synthetic time-series with known properties. We use the results from the synthetic time-series to interpret the measure of multifractality of real log-returns time-series. The main finding is that the aggregation horizon of the returns can introduce a strong bias effect on the measure of multifractality. This effect can become especially important when returns distributions have power law tails with exponents in the range [2,5]. We discuss the right aggregation horizon to mitigate this bias." @default.
- W4299681918 created "2022-10-02" @default.
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- W4299681918 date "2015-09-17" @default.
- W4299681918 modified "2023-09-30" @default.
- W4299681918 title "Measuring multiscaling in financial time-series" @default.
- W4299681918 doi "https://doi.org/10.48550/arxiv.1509.05471" @default.
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