Barunik, Jozef; Aste, Tomaso; Matteo, Tiziana Di; Liu, … - arXiv.org - 2012
In this paper, we use the generalized Hurst exponent approach to study the multi- scaling behavior of different financial time series. We show that this approach is robust and powerful in detecting different types of multiscaling. We observe a puzzling phenomenon where an apparent increase in...