Financial multifractality and its subtleties: an example of DAX
  Detailed study of multifractal characteristics of the financial time series of asset values and of its returns is performed using a collection of the high frequency Deutsche Aktienindex data. The tail index ($\alpha$), the Renyi exponents based on the box counting algorithm for the graph ($d_q$) and the generalized Hurst exponents ($H_q$) are computed in parallel for short and daily return times. The results indicate a more complicated nature of the stock market dynamics than just consistent multifractal. 
A. Z. Gorski, S. Drozdz, J. Speth