Short-term Dependence in Time Series as an Index of Complexity: Example from the S&P-500 Index

C-Rene Dominique and Luis Eduardo Rivera-Solis

MPRA Paper from University Library of Munich, Germany

Abstract: The capital market is a reflexive dynamical input/output construct whose output (time series) is usually assessed by an index of roughness known as Hurst’s exponent (H). Oddly enough, H has no theoretical foundation, but recently it has been found experimentally to vary from persistence (H > 1/2) or long-term dependence to anti-persistence (H

Keywords: Hurst Exponent; anti-persistence; fractal attractors; SDIC; chaos; inherent noise; market crashes; Renyi’s generalized fractal dimensions (search for similar items in EconPapers)
JEL-codes: A1 C6 G01 G1 (search for similar items in EconPapers)
Date: 2012-03-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (3)

Published in International Business Research No. 9.Volume(2012): pp. 38-48

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