922 citations · 4.9k across the 110 of their papers we have counts for
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q-fin.ST2012★ 48 cited
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…
q-fin.ST2012★ 132 cited
Understanding the source of multifractality in financial markets
Jozef Barunik, Tomaso Aste, Tiziana Di Matteo +1
In this paper, we use the generalized Hurst exponent approach to study the multi- scaling behavior of different financial time series. We show that this approach is robust and powe…