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cond-mat.stat-mech2004
Long term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development
T. Di Matteo, T. Aste, M. M. Dacorogna
The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That is why we use them to probe the different degree of markets…
cond-mat.stat-mech2003★ 4 cited
Using the Scaling Analysis to Characterize Financial Markets
T. Di Matteo, T. Aste, M. M. Dacorogna
We empirically analyze the scaling properties of daily Foreign Exchange rates, Stock Market indices and Bond futures across different financial markets. We study the scaling behavi…