Nava, Noemi; Matteo, T. Di; Aste, Tomaso - arXiv.org - 2015
Volatility of intra-day stock market indices computed at various time horizons exhibits a scaling behaviour that differs from what would be expected from fractional Brownian motion (fBm). We investigate this anomalous scaling by using Empirical Mode Decomposition (EMD), a method which separates...