Using the Scaling Analysis to Characterize Financial Markets
AbstractThe scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That is why we use them to probe the different degree of markets development. We empirically study the scaling properties of daily Foreign Exchange rates, Stock Market indices and fixed income instruments by using the generalized Hurst approach. The robustness of the results is tested by both Monte- Carlo studies and a computation of the scaling in the frequency-domain. We show that the scaling exponents are associated with characteristics of the specific markets and can be used to differentiate markets in their stage of development.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0402014.
Date of creation: 17 Feb 2004
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scaling exponents; time series analysis; multi-fractals; financial market;
Other versions of this item:
- T. Di Matteo & T. Aste & M. M. Dacorogna, 2003. "Using the Scaling Analysis to Characterize Financial Markets," Papers cond-mat/0302434, arXiv.org.
- G1 - Financial Economics - - General Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-02-23 (All new papers)
- NEP-CFN-2004-02-23 (Corporate Finance)
- NEP-CMP-2004-02-23 (Computational Economics)
- NEP-ETS-2004-02-23 (Econometric Time Series)
- NEP-FIN-2004-02-23 (Finance)
- NEP-FMK-2004-02-23 (Financial Markets)
- NEP-IFN-2004-02-23 (International Finance)
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