The scaling properties of the multifractional Brownian motion (mBm), a generally not multifractal proeess is investigated, and it is argued that, when calibrated on actual financial time series, its partition Tunction 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 evaltiation 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
2005-01-01
Abstract
The scaling properties of the multifractional Brownian motion (mBm), a generally not multifractal proeess is investigated, and it is argued that, when calibrated on actual financial time series, its partition Tunction 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 evaltiation of the recent findings about the multifractal behaviour in finance and economics.File in questo prodotto:
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