Time and scale Hurst exponent analysis for financial markets

José A.O. Matos, Sílvio M.A. Gama, Heather J. Ruskin, Adel Al Sharkasi and Martin Crane

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 15, 3910-3915

Abstract: 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.

Keywords: Long-term memory processes; Detrended fluctuation analysis; Hurst exponent; Econophysics (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (29)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:15:p:3910-3915

DOI: 10.1016/j.physa.2008.01.060

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