DETECTING MULTIFRACTAL PROPERTIES IN ASSET RETURNS: THE FAILURE OF THE "SCALING ESTIMATOR"

By Thomas Lux. 2004

82 citations recorded by the source corpus.

Subfields: Condensed Matter Physics, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6e0c2b7711b0b70f57f9995134cafcd991d438fc

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Condensed Matter Physics

1. T. Di Matteo
2. Wei‐Xing Zhou

In Economics and Econometrics

1. T. Di Matteo
2. Wei‐Xing Zhou
3. Ladislav Kristoufek
4. Ling-Yun He
5. Shu-Peng Chen
6. Guangxi Cao
7. Longbing Xu
8. Jie Cao

In Finance

1. T. Di Matteo
2. Wei‐Xing Zhou
3. Ladislav Kristoufek
4. Miloslav S. Vosvrda
5. Guangxi Cao
6. K. Lim
7. R. Brooks
8. Longbing Xu

Citations in the corpus

• Finite-size effect and the components of multifractality in financial volatility (2009, background): “Numerical investigations show that the reported multifractal nature in many real cases stems from the large fluctuations of prices [59].”
• Multi-scaling in finance (2007, background): “…literature (Ding et al. 1993, Muzy et al. 1994, 2000, Ghashghaie et al. 1996, Mandelbrot et al. 1997, Arneodo et al. 1998, Mandelbrot 1999, Bacry et al. 2001, Calvet and Fisher 2001, Muzy and Bacry 2002, Lux 2003, 2004, 2006, Eisler and Kertesz 2004, Borland and Bouchaud 2005, Borland et al. 2005).”