Regensburg 2019 – wissenschaftliches Programm
SOE 3.1: Vortrag
Montag, 1. April 2019, 11:00–11:30, H17
Multiscaling in Finance — •Tiziana Di Matteo — Department of Mathematics - King's College London
The multiscaling behaviour of 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 I will discuss the origin of multiscaling in financial time-series and investigate how to best quantify it [4,5]. In particular I will show results on the application of the Generalized Hurst exponent tool to different financial time series and I will show the powerfulness of such tool to detect changes in markets' behaviours, to differentiate markets accordingly to their degree of development, to asses risk and to provide a new tool for forecasting.
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