148 citations · 217 across the 3 of their papers we have counts for
3 papers
Dependency Structure and Scaling Properties of Financial Time Series Are Related
Raffaello Morales, T. Di Matteo, Tomaso Aste
We report evidence of a deep interplay between cross-correlations hierarchical properties and multifractality of New York Stock Exchange daily stock returns. The degree of multifra…
Non stationary multifractality in stock returns
Raffaello Morales, T. Di Matteo, Tomaso Aste
We perform an extensive empirical analysis of scaling properties of equity returns, suggesting that financial data show time varying multifractal properties. This is obtained by co…
Dynamical Hurst exponent as a tool to monitor unstable periods in financial time series
Raffaello Morales, T. Di Matteo, Ruggero Gramatica +1
We investigate the use of the Hurst exponent, dynamically computed over a moving time-window, to evaluate the level of stability/instability of financial firms. Financial firms bai…