Scaling behaviors in differently developed markets

T. Di Matteo, T. Aste and Michel Dacorogna

Physica A: Statistical Mechanics and its Applications, 2003, vol. 324, issue 1, 183-188

Abstract: Scaling properties of four different stock market indices are studied in terms of a generalized Hurst exponent approach. We find that the deviations from pure Brownian motion behavior are associated with the degrees of development of the markets and we observe strong differentiations in the scaling properties of markets at different development stage.

Date: 2003
References: View complete reference list from CitEc
Citations: View citations in EconPapers (128)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437102019969
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:324:y:2003:i:1:p:183-188

DOI: 10.1016/S0378-4371(02)01996-9

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().