McCauley, Joseph L.; Bassler, Kevin E.; Gunaratne, Gemunu h. - Volkswirtschaftliche Fakultät, … - 2007
The condition for stationary increments, not scaling, detemines long time pair autocorrelations. An incorrect assumption of stationary increments generates spurious stylized facts, fat tails and a Hurst exponent Hs=1/2, when the increments are nonstationary, as they are in FX markets. The...