liu-multiscalingmodelling-2007.pdf (493.55 kB)
Multi-scaling modelling in financial markets
conference contribution
posted on 2007-01-01, 00:00 authored by Ruipeng LiuRuipeng Liu, T Aste, T Di MatteoIn the recent years, a new wave of interest spurred the involvement of complexity in finance which might provide a guideline to understand the mechanism of financial markets, and researchers with different backgrounds have made increasing contributions introducing new techniques and methodologies. In this paper, Markov-switching multifractal models (MSM) are briefly reviewed and the multi-scaling properties of different financial data are analyzed by computing the scaling exponents by means of the generalized Hurst exponent H(q). In particular we have considered H(q) for price data, absolute returns and squared returns of different empirical financial time series. We have computed H(q) for the simulated data based on the MSM models with Binomial and Lognormal distributions of the volatility components. The results demonstrate the capacity of the multifractal (MF) models to capture the stylized facts in finance, and the ability of the generalized Hurst exponents approach to detect the scaling feature of financial time series.
History
Event
SPIE Microelectronics, MEMS, and Nanotechnology. Conference (2007 : Canberra, A.C.T.)Publisher
SPIE Digital LibraryLocation
Canberra, A.C.T.Place of publication
Bellingham, Wash.Publisher DOI
Start date
2007-12-04End date
2007-12-07ISBN-13
9780819469731Language
engPublication classification
E1.1 Full written paper - refereed; E Conference publicationCopyright notice
2008, SPIE--The International Society for Optical EngineeringTitle of proceedings
Proceedings of SPIE--the International Society for Optical Engineering : Complex systems IIUsage metrics
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