Using multiplicative cascade models and q-Gaussian reshaped series, the authors show temporal correlations alone produce multifractality and propose the Gaussian distribution as the baseline for isolating the extra spectrum width caused by heavy tails.
Multifractal nature of stock exchange prices
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Disentangling sources of multifractality in time series
Using multiplicative cascade models and q-Gaussian reshaped series, the authors show temporal correlations alone produce multifractality and propose the Gaussian distribution as the baseline for isolating the extra spectrum width caused by heavy tails.