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A cautionary note on the detection of multifractal scaling in finance and economics

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  • Sergio Bianchi

Abstract

The scaling properties of the multifractional Brownian motion (mBm), a generally not multifractal process is investigated, and it is argued that, when calibrated on actual financial time series, its partition function as well as its spectrum behave as those of genuine multifractal processes. The examples here provided, based on the analysis of two major stock indexes, are intended to solicit a prudent evaluation of the recent findings about the multifractal behaviour in finance and economics.

Suggested Citation

  • Sergio Bianchi, 2005. "A cautionary note on the detection of multifractal scaling in finance and economics," Applied Economics Letters, Taylor & Francis Journals, vol. 12(12), pages 775-780.
    • Handle: RePEc:taf:apeclt:v:12:y:2005:i:12:p:775-780
    DOI: 10.1080/13504850500142494
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    Cited by:

    1. Crepaldi, Antonio F. & Neto, Camilo Rodrigues & Ferreira, Fernando F. & Francisco, Gerson, 2009. "Multifractal regime transition in a modified minority game model," Chaos, Solitons & Fractals, Elsevier, vol. 42(3), pages 1364-1371.
    2. Frezza, Massimiliano, 2012. "Modeling the time-changing dependence in stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 45(12), pages 1510-1520.

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