Grilli, Luca; Sfrecola, Angelo; Russo, Massimo Alfonso - Dipartimento di Scienze Economiche, Matematiche e … - 2010
In this paper we consider financial time series from U.S. Fixed Income Market, S&P500, DJ Eurostoxx 50, Dow Jones,Mibtel and Nikkei 225. It is well known that financial time series reveal some anomalies regarding the EfficientMarketHypothesis and some scaling behaviour, such as fat tails and...