Regensburg 2025 – wissenschaftliches Programm

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 1: Econophysics

SOE 1.1: Hauptvortrag

Montag, 17. März 2025, 15:00–15:30, H45

Interplay between multiscaling and rough volatility — •Tiziana Di Matteo — King's College London, London, UK

The multiscaling behaviour of financial time-series is one of the acknowledged stylized facts in the literature [1]. Its source in financial markets has been long debated [2,3]. In this talk I will discuss the origin of multiscaling in financial time-series, investigate how to best quantify it [4] and I will introduce a new methodology that provides a robust estimation and tests the multi- scaling property in a statistically significant way [5]. 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 [6]. I will also show results to assess the interplay between price multiscaling and volatility roughness, defined as the (low) Hurst exponent of the volatility process [7] and finally I will discuss some new results on the origin of the multiscaling in rough volatility models [8]. [1] T. Di Matteo, Quantitative Finance 7(1) (2007) 21. [2] J. W Kantelhardt et al., Physica A 316 (2002) 87. [3] J. Barunik et al. Physica A 391 (2012) 4234. [4] R. J. Buonocore et al., Chaos, Solitons and Fractals 88 (2016) 38 and Phys.Rev.E, 95 (4) (2017) 042311. [5] G. Brandi, T. Di Matteo, The Eur. J. of Finance, (2021) DOI: 10.1080/1351847X.2021.1908391. [6] I. P. Antoniades et al., Physica A 565 (2021) 12556. [7] G. Brandi, T. Di Matteo, Int. Rev. Financ. Anal. 84 (2022) 102324. [8] P. Casaburi, G. Brandi, T. Di Matteo, submitted (2024).

Keywords: Econophysics, multi scaling, financial time series