Apparent multifractality in financial time series

  title={Apparent multifractality in financial time series},
  author={J. P. Bouchaud and Marc Potters and Martin Meyer},
We present a exactly soluble model for financial time series that mimics the long range volatility correlations known to be present in financial data. Although our model is asymptotically ‘monofractal’ by construction, it shows apparent multiscaling as a result of a slow crossover phenomenon on finite time scales. Our results suggest that it might be hard… CONTINUE READING