This paper extends research by Batten and Ellis [Econ. Lett. 72 (2001) 291] to propose a simple model of scale-adjusted volatility which measures the extent to which the Gaussian scaling law mis-estimates long-horizon volatility. Applied to the Dow Jones industrial average, the results of our...

We propose a simple agent-based computational model in which speculators' trading behavior may cause bubbles and crashes, excess volatility, serially uncorrelated returns, fat-tailed return distributions and volatility clustering, thereby replicating five important stylized facts of stock...

This study assesses how the coronavirus pandemic (COVID-19) affects the intraday multifractal properties of eight European stock markets by using five-minute index data ranging from 1 January 2020 to 23 March 2020. The Hurst exponents are calculated by applying multifractal detrended fluctuation...