Morales, Raffaello; Di Matteo, T.; Aste, Tomaso - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 24, pp. 6470-6483
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...