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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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