6533b851fe1ef96bd12a8e88

RESEARCH PRODUCT

Using the Scaling Analysis to Characterize Financial Markets

T. Di MatteoT. AsteM. M. Dacorogna

subject

FOS: Economics and businessStatistical Finance (q-fin.ST)Statistical Mechanics (cond-mat.stat-mech)jel:G1Quantitative Finance - Statistical FinanceFOS: Physical sciencesCondensed Matter - Statistical Mechanicsscaling exponents time series analysis multi-fractals financial market

description

We empirically analyze the scaling properties of daily Foreign Exchange rates, Stock Market indices and Bond futures across different financial markets. We study the scaling behaviour of the time series by using a generalized Hurst exponent approach. We verify the robustness of this approach and we compare the results with the scaling properties in the frequency-domain. We find evidence of deviations from the pure Brownian motion behavior. We show that these deviations are associated with characteristics of the specific markets and they can be, therefore, used to distinguish the different degrees of development of the markets.

yearjournalcountryeditionlanguage
2003-02-21
http://arxiv.org/pdf/cond-mat/0302434