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arxiv: 1509.05471 · v2 · pith:B6747YZWnew · submitted 2015-09-17 · 💱 q-fin.ST

Measuring multiscaling in financial time-series

classification 💱 q-fin.ST
keywords time-seriesmultifractalityaggregationbiasdiscusseffectfinancialhorizon
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We discuss the origin of multiscaling in financial time-series and investigate how to best quantify it. Our methodology consists in separating the different sources of measured multifractality by analysing the multi/uni-scaling behaviour of synthetic time-series with known properties. We use the results from the synthetic time-series to interpret the measure of multifractality of real log-returns time-series. The main finding is that the aggregation horizon of the returns can introduce a strong bias effect on the measure of multifractality. This effect can become especially important when returns distributions have power law tails with exponents in the range [2,5]. We discuss the right aggregation horizon to mitigate this bias.

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