Time and scale Hurst exponent analysis for financial markets

被引：61

作者：

Matos, Jose A. O. ^{[1
,2
]}

Gama, Silvio M. A. ^{[2
,3
]}

Ruskin, Heather J. ^{[4
]}

Al Sharkasi, Adel ^{[4
]}

Crane, Martin ^{[4
]}

机构：

[1] Univ Porto, Fac Econ, Oporto, Portugal

[2] Univ Porto, Ctr Matemat, Oporto, Portugal

[3] Univ Porto, Fac Ciencias, Oporto, Portugal

[4] Dublin City Univ, Sch Comp, Dublin 9, Ireland

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2008年 / 387卷 / 15期

关键词：

long-term memory processes; detrended fluctuation analysis; Hurst exponent; econophysics;

D O I：

10.1016/j.physa.2008.01.060

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We use a new method of studying the Hurst exponent with time and scale dependency. This new approach allows us to recover the major events affecting worldwide markets (such as the September 11th terrorist attack) and analyze the way those effects propagate through the different scales. The time-scale dependence of the referred measures demonstrates the relevance of entropy measures in distinguishing the several characteristics of market indices: "effects" include early awareness, patterns of evolution as well as comparative behaviour distinctions in emergent/established markets. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：3910 / 3915

页数：6

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