Following Alfarano et al. [Estimation of agent-based models: the case of an asymmetric herding model, Comput. Econ. 26 (2005) 19–49; Excess volatility and herding in an artificial financial market: analytical approach and estimation, in: W. Franz, H. Ramser, M. Stadler (Eds.),...

In this paper, we consider daily financial data of a collection of different stock market indices, exchange rates, and interest rates, and we analyze their multi-scaling properties by estimating a simple specification of the Markov-switching multifractal (MSM) model. In order to see how well the...

Econophysics has already made a number of important empirical contributions to our understanding of the social and economic world. These fall mainly into the areas of finance and industrial economics, where in each case there is a large amount of reasonably well-defined data.