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Using the Scaling Analysis to Characterize Financial Markets

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Author Info
T. Di Matteo
T. Aste
M. M. Dacorogna

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Abstract

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.

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File URL: http://arxiv.org/abs/cond-mat/0302434
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Paper provided by arXiv.org in its series Quantitative Finance Papers with number cond-mat/0302434.

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Date of creation: Feb 2003
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Handle: RePEc:arx:papers:cond-mat/0302434

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  1. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188. [Downloadable!] (restricted)
  2. Patrick A. Groenendijk & André Lucas & Casper G. de Vries, 1998. "A Hybrid Joint Moment Ratio Test for Financial Time Series," Tinbergen Institute Discussion Papers 98-104/2, Tinbergen Institute. [Downloadable!]
  3. Muller, Ulrich A. & Dacorogna, Michel M. & Olsen, Richard B. & Pictet, Olivier V. & Schwarz, Matthias & Morgenegg, Claude, 1990. "Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis," Journal of Banking & Finance, Elsevier, vol. 14(6), pages 1189-1208, December. [Downloadable!] (restricted)
  4. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," Journal of Business, University of Chicago Press, vol. 36, pages 394. [Downloadable!]
  5. Benoit Mandelbrot, 1967. "The Variation of Some Other Speculative Prices," Journal of Business, University of Chicago Press, vol. 40, pages 393. [Downloadable!]
  6. Fulvio Corsi & Gilles Zumbach & Ulrich Müller & Michel Dacorogna, 2004. "Consistent high-precision volatility from high-frequency data," Finance 0407005, EconWPA. [Downloadable!]
  7. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-313, September. [Downloadable!] (restricted)
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  8. Brock, W A, 1999. "Scaling in Economics: A Reader's Guide," Industrial and Corporate Change, Oxford University Press, vol. 8(3), pages 409-46, September.
  9. Eugene F. Fama, 1963. "Mandelbrot and the Stable Paretian Hypothesis," Journal of Business, University of Chicago Press, vol. 36, pages 420. [Downloadable!]
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