Tiziana Di Matteo
The multiscaling behaviour of the financial time-series is one of the acknowledged stylized facts in the literature . The source of the measured multifractality in financial markets has been long debated and it has been attributed to mainly two sources: the power law tails and the non linear autocorrelation of the analysed time-series [2,3]. In this talk we discuss the origin of multiscaling in financial time-series and investigate how to best quantify it [4,5].
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