Dr. Ruipeng Liu Profile

Dr. Ruipeng Liu

at Australian National Univ

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Proceedings Article | 5 January 2008 Paper

Multi-scaling modelling in financial markets

Ruipeng Liu, Tomaso Aste, T. Di Matteo

Proceedings Volume 6802, 68021A (2008) https://doi.org/10.1117/12.759585

KEYWORDS: Data modeling, Stochastic processes, Statistical analysis, Modeling, Computer simulations, Physics, Analytical research, Complex systems, Process modeling, Systems modeling

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In the recent years, a new wave of interest spurred the involvement of complexity in finance which might provide a guideline to understand the mechanism of financial markets, and researchers with different backgrounds have made increasing contributions introducing new techniques and methodologies. In this paper, Markov-switching multifractal models (MSM) are briefly reviewed and the multi-scaling properties of different financial data are analyzed by computing the scaling exponents by means of the generalized Hurst exponent H(q). In particular we have considered H(q) for price data, absolute returns and squared returns of different empirical financial time series. We have computed H(q) for the simulated data based on the MSM models with Binomial and Lognormal distributions of the volatility components. The results demonstrate the capacity of the multifractal (MF) models to capture the stylized facts in finance, and the ability of the generalized Hurst exponents approach to detect the scaling feature of financial time series.

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