Non-stationary multifractality in stock returns

Physica A: Statistical Mechanics and its Applications

Volumn 392, Issue 24, 2013, Pages 6470-6483

  Morales, Raffaello ^a   Di Matteo, T ^a   Aste, Tomaso ^b  

^a KING'S COLLEGE LONDON   (United Kingdom)

^b UNIVERSITY COLLEGE LONDON   (United Kingdom)

Author keywords

Generalised; Hurst exponent; Multifractal models; Multifractality

Indexed keywords

FINANCIAL MARKETS; INVESTMENTS; RANDOM PROCESSES;

EMPIRICAL ANALYSIS; GENERALISED; HURST EXPONENTS; MULTI-FRACTAL PROPERTY; MULTIFRACTAL MODELS; MULTIFRACTALITY; PHYSICAL REVIEW; SCALING PROPERTIES;

FRACTALS;

EID: 84885065654     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2013.08.037     Document Type: Article

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