Barunik, Jozef; Aste, Tomaso; Di Matteo, T.; Liu, Ruipeng - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 17, pp. 4234-4251
In this paper, we use the generalized Hurst exponent approach to study the multi-scaling behavior of different financial time series. We show that this approach is robust and powerful in detecting different types of multi-scaling. We observe a puzzling phenomenon where an apparent increase in...