Chang, Lo-Bin; Geman, Stuart - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 20, pp. 5046-5052
Widely cited evidence for scaling (self-similarity) of the returns of stocks and other securities is inconsistent with virtually all currently-used models for price movements. In particular, state-of-the-art models provide for ubiquitous, irregular, and oftentimes high-frequency fluctuations in...