A Different Statistic for the Management of Portfolios - the Hurst Exponent: Persistent, Antipersistent or Random Time Series?

Ana-Maria CALOMFIR (metescu) ()
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Ana-Maria CALOMFIR (metescu): Romanian Academy, Romania

Economia. Seria Management, 2015, vol. 18, issue 2, 285-292

Abstract: In recent years, research in the capital markets and management of portfolios has been producing more questions than it has been answering: the need for a new paradigm or a new way of looking at things has become more and more concludent. The existing and classical view of capital markets, based on efficient market hypothesis, has a definite theory for the last six decades, but it is still not capable of significantly increase the understanding of how capital markets function. The purpose of this article is to theoretically describe a less used statistic coefficient, having a vast area of applicability due to its robustness, and which can easily divide the random series from a non-random series, even if the random series is non-Gaussian: the Hurst exponent.

Keywords: random walk; Hurst exponent; fractal dimension; capital markets. (search for similar items in EconPapers)
JEL-codes: G11 G14 G17 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:rom:econmn:v:18:y:2015:i:2:p:285-292

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