interval. The scaling property is observed in all three relations. The fact of long relaxation times gives evidence of long …

exceeding a certain threshold q are carefully studied. The Kolmogorov–Smirnov (KS) test shows that 12 stocks exhibit scaling …

the random walk assumption. The second model investigates the distributional scaling behaviour of the high-frequency price … variations in the Norwegian stock market. The results show a remarkable constant scaling behaviour between different time … expressed through a scaling exponent, describing the development of the distributions as the time scale changes. This …

returns for the Shanghai Stock Exchange Composite Index (SSEC) and 22 constituent stocks of SSEC. The scaling behavior and … distribution for the realized volatility shows a better scaling behavior since 20 stocks (out of 22 stocks) and the SSEC pass the … Kolmogorov–Smirnov (KS) test and exhibit scaling behaviors, among which the scaling function for 8 stocks could be approximated …

The most suitable paradigms and tools for investigating the scaling structure of financial time series are reviewed and … discussed in the light of some recent empirical results. Different types of scaling are distinguished and several definitions of … scaling exponents, scaling and multi-scaling processes are given. Methods to estimate such exponents from empirical financial …

year 2003. A scaling pattern is observed in the distributions of intertrade durations, where the empirical density … functions of the normalized intertrade durations of all 23 stocks collapse onto a single curve. The scaling pattern is also …