An econophysics approach to the Portuguese Stock Index—PSI-20

José A.O. Matos, Sı́lvio M.A. Gama, Heather J. Ruskin and José A.M.S. Duarte

Physica A: Statistical Mechanics and its Applications, 2004, vol. 342, issue 3, 665-676

Abstract: We analyse the PSI-20 (Portuguese Stock Index) data series from 1993 to 2001, with a view to examining the structure of the series, the appropriateness of the standard model forms for these data and evidence for market maturation.

Keywords: Long-term memory processes; Detrended fluctuation analysis; Hurst exponent; Econophysics (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:342:y:2004:i:3:p:665-676

DOI: 10.1016/j.physa.2004.05.066

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