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Apparent scaling

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Abstract.

A number of authors have reported empirically observed scaling laws of the absolute values of log returns of stocks and exchange rates, with a scaling coefficient in the order of 0.58–0.59. It is suggested here that this phenomenon is largely due to the semi-heavy tailedness of the distributions concerned rather than to real scaling.

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Authors and Affiliations

  1. MaPhySto – Centre for Mathematical Physics and Stochastics University of Aarhus, Ny Munkegade, DK–8000 Aarhus C, Denmark (e-mail: oebn@imf.au.dk), , , , , , DK

    Ole E. Barndorff-Nielsen

  2. Mathematische Stochastik, FDM, Universität Freiburg, Eckerstraße 1, D–79104 Freiburg, Germany (e-mail: prause@stochastik.uni-freiburg.de), , , , , , DE

    Karsten Prause

Authors
  1. Ole E. Barndorff-Nielsen
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  2. Karsten Prause
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Manuscript received: October 1999; final version received: February 2000

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Barndorff-Nielsen, O., Prause, K. Apparent scaling. Finance Stochast 5, 103–113 (2001). https://doi.org/10.1007/s007800000020

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  • DOI: https://doi.org/10.1007/s007800000020

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