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 | Dimensione | Formato | |
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