Apparent Scaling
by Ole E. Barndorff-Nielsen and Karsten Prause
Research Reports
Number 408 (October 1999)
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.
To appear in Finance and Stochastics