Caraglio, Michele; Baldovin, Fulvio; Stella, Attilio L. - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-15
A definition of time based on the assumption of scale invariance may enhance and simplify the analysis of historical series with cyclically recurrent patterns and seasonalities. By enforcing simple-scaling and stationarity of the distributions of returns, we identify a successful protocol of...