Scaling in the Bombay stock exchange index

被引：18
|
作者：
Razdan, A [1 ]
机构：
[1] Bhabha Atom Res Ctr, Nucl Res Lab, Mumbai 400085, India
来源：
PRAMANA-JOURNAL OF PHYSICS | 2002年 / 58卷 / 03期
关键词：
fractals; multifractals; R/S analysis; scaling; stock markets;
D O I：
10.1007/s12043-002-0063-y
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
In this paper we study Bombay stock exchange (BSE) index financial time series for fractal and multifractal behaviour. We show that BSE index time series is monofractal and can be represented by a fractional Brownian motion.
引用
收藏
页码：537 / 544
页数：8
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