An Empirical Study of the Stability of Hurst Exponent Behavior Applied to Russian and American Stock Markets

Andrey Zlotnik ()
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Andrey Zlotnik: CEMI RAS, Moscow, Russia

Applied Econometrics, 2007, vol. 5, issue 1, 20-29

Abstract: In the paper we study the stability of Hurst exponent behavior for Russian and American financial indicators. A specific technique is developed for analysis of its performance. A grouping method is suggested built on financial time series fractal properties.

Keywords: financial time series; fractal processes; persistent processes; antipersistent processes; stochastic processes; R/S-analysis; Hurst exponent (search for similar items in EconPapers)
JEL-codes: C15 C18 C38 G11 (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:ris:apltrx:0150

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