  Multifractal analysis is one of the important approaches that enables us to
measure the complexity of various data via the scaling properties. We compare
the most common techniques used for multifractal exponents estimation from both
theoretical and practical point of view. Particularly, we discuss the methods
based on estimation of R\'enyi entropy, which provide a powerful tool
especially in presence of heavy-tailed data. To put some flesh on bare bones,
all methods are compared on various real financial datasets, including daily
and high-frequency data.
