We perform an extensive empirical analysis of scaling properties of equity returns, suggesting that financial data show time varying multifractal properties. This is obtained by comparing empirical observations of the weighted generalised Hurst exponent (wGHE) with time series simulated via...

Volatility of intra-day stock market indices computed at various time horizons exhibits a scaling behaviour that differs from what would be expected from fractional Brownian motion (fBm). We investigate this anomalous scaling by using Empirical Mode Decomposition (EMD), a method which separates...

We introduce a graph-theoretic approach to extract clusters and hierarchies in complex data-sets in an unsupervised and deterministic manner, without the use of any prior information. This is achieved by building topologically embedded networks containing the subset of most significant links and...

We investigate the use of the Hurst exponent, dynamically computed over a weighted moving time-window, to evaluate the level of stability/instability of financial firms. Financial firms bailed-out as a consequence of the 2007–2008 credit crisis show a neat increase with time of the generalized...

We report evidence of a deep interplay between cross-correlations hierarchical properties and multifractality of New York Stock Exchange daily stock returns. The degree of multifractality displayed by different stocks is found to be positively correlated to their depth in the hierarchy of...

We perform an extensive empirical analysis of scaling properties of equity returns, suggesting that financial data show time varying multifractal properties. This is obtained by comparing empirical observations of the weighted generalised Hurst exponent (wGHE) with time series simulated via...

The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That is why we use them to probe the different degree of markets development. We empirically study the scaling properties of daily Foreign Exchange rates, Stock Market indices and...

In the present work we demonstrate the application of different physical methods to high-frequency or tick-by-tick financial time series data. In particular, we calculate the Hurst exponent and inverse statistics for the price time series taken from a range of futures indices. Additionally, we...

We analyze the data on personal income distribution from the Australian Bureau of Statistics. We compare fits of the data to the exponential, log-normal, and gamma distributions. The exponential function gives a good (albeit not perfect) description of 98% of the population in the lower part of...

In the present work we investigate the multiscale nature of the correlations for high frequency data (1 minute) in different futures markets over a period of two years, starting on the 1st of January 2003 and ending on the 31st of December 2004. In particular, by using the concept of "local"...