On the interplay between multiscaling and stocks dependence

31 Mar 2019 Buonocore R. J. Brandi G. Mantegna R. N. Di Matteo T.

We find a nonlinear dependence between an indicator of the degree of multiscaling of log-price time series of a stock and the average correlation of the stock with respect to the other stocks traded in the same market. This result is a robust stylized fact holding for different financial markets... (read more)

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