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.
This is a preview of subscription content, log in via an institution to check access.
Similar content being viewed by others
Explore related subjects
Discover the latest articles and news from researchers in related subjects, suggested using machine learning.Author information
Authors and Affiliations
Additional information
Manuscript received: October 1999; final version received: February 2000
Rights and permissions
About this article
Cite this article
Barndorff-Nielsen, O., Prause, K. Apparent scaling. Finance Stochast 5, 103–113 (2001). https://doi.org/10.1007/s007800000020
Issue Date:
DOI: https://doi.org/10.1007/s007800000020