Scaling and multiscaling in financial series: a simple model

2010/06/01 by Alessandro Andreoli, Francesco Caravenna, Andreoli, Alessandro +5
Economics, Econometrics and Finance · #60G44 #91B25 #91G70 #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Mathematics #Probability (math.PR) #Statistical Finance (q-fin.ST)

paper · pdf · doi:10.48550/arxiv.1006.0155

openalex publication_date 2010/06/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We propose a simple stochastic volatility model which is analytically tractable, very easy to simulate and which captures some relevant stylized facts of financial assets, including scaling properties. In particular, the model displays a crossover in the log-return distribution from power-law tails (small time) to a Gaussian behavior (large time), slow decay in the volatility autocorrelation and multiscaling of moments. Despite its few parameters, the model is able to fit several key features of the time series of financial indexes, such as the Dow Jones Industrial Average, with a remarkable accuracy.

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