BRACHET, Marc-Etienne; TAFLIN, Erik; TCHEOU, Jean Marcel - EconWPA - 1999
sequence of random variables, i.e a stochastic process. Sharp scaling exponents or unifractal behavior of such processes has … been reported in several works. In this letter we investigate the question of scaling transformation of price processes by … physics. Using two sets of financial chronological time series, we show that the scaling transformation is a non-linear group …