The scaling properties of the multifractional Brownian motion (mBm), a generally not multifractal process is investigated, and it is argued that, when calibrated on actual financial time series, its partition function as well as its spectrum behave as those of genuine multifractal processes. The examples here provided, based on the analysis of two major stock indexes, are intended to solicit a prudent evaluation of the recent findings about the multifractal behaviour in finance and economics.

A Cautionary Note on the Detection of Multifractal Scaling in Finance and Economics / Bianchi, Sergio. - In: APPLIED ECONOMICS LETTERS. - ISSN 1350-4851. - 12:12(2005), pp. 775-780. [10.1080/13504850500142494]

A Cautionary Note on the Detection of Multifractal Scaling in Finance and Economics

Bianchi, Sergio
2005

Abstract

The scaling properties of the multifractional Brownian motion (mBm), a generally not multifractal process is investigated, and it is argued that, when calibrated on actual financial time series, its partition function as well as its spectrum behave as those of genuine multifractal processes. The examples here provided, based on the analysis of two major stock indexes, are intended to solicit a prudent evaluation of the recent findings about the multifractal behaviour in finance and economics.
File allegati a questo prodotto
File Dimensione Formato  
Bianchi_cautionary_2005.pdf

solo gestori archivio

Tipologia: Versione editoriale (versione pubblicata con il layout dell'editore)
Licenza: Tutti i diritti riservati (All rights reserved)
Dimensione 803.97 kB
Formato Adobe PDF
803.97 kB Adobe PDF   Visualizza/Apri   Richiedi una copia

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11573/1377160
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 10
  • ???jsp.display-item.citation.isi??? 9
social impact