We discuss the origin of multiscaling in financial time-series and investigate how to best quantify it. Our methodology consists in separating the different sources of measured multifractality by analysing the multi/uni-scaling behaviour of synthetic time-series with known properties. We use the results from the synthetic time-series to interpret the measure of multifractality of real log-returns timeseries. The main finding is that the aggregation horizon of the returns can introduce a strong bias effect on the measure of multifractality. This effect can become especially important when returns distributions have power law tails with exponents in the range [2,5]. We discuss the right aggregation horizon to mitigate this bias.

Over the last decade there were significant advances in the understanding of quantum gravity coupled to point particles in 3D (2+1-dimensional) spacetime. Most notably it is emerging that the theory can be effectively described as a theory of free particles on a momentum space with anti-deSitter geometry and with noncommutative spacetime coordinates of the type [x µ , x ν ] = ih ε µν ρ x ρ . We here show that the recently proposed relative-locality curved-momentum-space framework is ideally suited for accommodating these structures characteristic of 3D quantum gravity. Through this we obtain an intuitive characterization of the DSR-deformed Poincaré symmetries of 3D quantum gravity, and find that the associated relative spacetime locality is of the type producing dual-gravity lensing. arXiv:1210.7834v1 [hep-th]

We propose a method to measure the Hurst exponents of financial time series. The scaling of the absolute moments against the aggregation horizon of real financial processes and of both uniscaling and multiscaling synthetic processes converges asymptotically towards linearity in log-log scale. In light of this we found appropriate a modification of the usual scaling equation via the introduction of a filter function. We devised a measurement procedure which takes into account the presence of the filter function without the need of directly estimating it. We verified that the method is unbiased within the errors by applying it to synthetic time series with known scaling properties. Finally we show an application to empirical financial time series where we fit the measured scaling exponents via a second or a fourth degree polynomial, which, because of theoretical constraints, have respectively only one and two degrees of freedom. We found that on our data set there is not clear preference between the second or fourth degree polynomial. Moreover the study of the filter functions of each time series shows common patterns of convergence depending on the momentum degree.

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. We investigate this result conditional on the stocks' capitalization and on the kurtosis of stocks' log-returns in order to search for possible confounding effects. We show that a linear dependence with the logarithm of the capitalization and the logarithm of kurtosis does not explain the observed stylized fact, which we interpret as being originated from a deeper relationship.

Theories with a curved momentum space, which became recently of interest in the quantum-gravity literature, can in general violate many apparently robust aspects of our current description of the laws of physics, including relativistic invariance, locality, causality and global momentum conservation. We here explore some aspects of the particularly severe pathologies arising in generic theories with curved momentum space for what concerns causality and momentum conservation. However, we also report results suggesting that when momentum space is maximally symmetric, and the theory is formulated (DSR-)relativistically, with the associated relativity of spacetime locality, momentum is globally conserved and there is no violation of causality.Comment: 20 pages, 6 figures, latex (V2: minor editing