A cautionary note on the detection of multifractal scaling in finance and economics

Sergio Bianchi ()

Applied Economics Letters, 2005, vol. 12, issue 12, pages 775-780

Abstract: The scaling properties of the multifractional Brownian motion (mBm), a generally not multifractal process is investigated, and it is argued that, when calibrated on actual financial time series, its partition function as well as its spectrum behave as those of genuine multifractal processes. The examples here provided, based on the analysis of two major stock indexes, are intended to solicit a prudent evaluation of the recent findings about the multifractal behaviour in finance and economics.

Date: 2005
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:taf:apeclt:v:12:y:2005:i:12:p:775-780

Ordering information: This journal article can be ordered from
http://www.tandf.co.uk/journals/subscription.asp

Access Statistics for this article

Applied Economics Letters is edited by Mark Taylor

More articles in Applied Economics Letters from Taylor and Francis Journals
Series data maintained by Michael McNulty ().