Measuring multiscaling in financial time-series
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.
Keywords
Cite
@article{arxiv.1509.05471,
title = {Measuring multiscaling in financial time-series},
author = {Riccardo Junior Buonocore and Tomaso Aste and Tiziana Di Matteo},
journal= {arXiv preprint arXiv:1509.05471},
year = {2015}
}
Comments
18 pages, 6 figures