Using the Scaling Analysis to Characterize Financial Markets

T. Di Matteo, T. Aste and Michel Dacorogna
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T. Di Matteo: Universita degli Studi di Salerno
T. Aste: Australian National University

Finance from EconWPA

Abstract: The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That is why we use them to probe the different degree of markets development. We empirically study the scaling properties of daily Foreign Exchange rates, Stock Market indices and fixed income instruments by using the generalized Hurst approach. The robustness of the results is tested by both Monte- Carlo studies and a computation of the scaling in the frequency-domain. We show that the scaling exponents are associated with characteristics of the specific markets and can be used to differentiate markets in their stage of development.

Keywords: scaling exponents; time series analysis; multi-fractals; financial market (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn, nep-cmp, nep-ets, nep-fin, nep-fmk and nep-ifn
Date: 2004-02-17
Note: Type of Document - pdf; prepared on WinNT; to print on HP A4;
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http://129.3.20.41/eps/fin/papers/0402/0402014.pdf (application/pdf)

Related works:
Working Paper: Using the Scaling Analysis to Characterize Financial Markets (2003)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0402014

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