Exact results for the roughness of a finite size random walk

V. Alfi, F. Coccetti, M. Marotta, A. Petri and L. Pietronero

Physica A: Statistical Mechanics and its Applications, 2006, vol. 370, issue 1, 127-131

Abstract: We consider the role of finite size effects on the value of the effective Hurst exponent H. This problem is motivated by the properties of the high-frequency daily stock-prices. For a finite size random walk we derive some exact results based on Spitzer's identity. The conclusion is that finite size effects strongly enhance the value of H and the convergency to the asymptotic value (H=12) is rather slow. This result has a series of conceptual and practical implication which we discuss.

Keywords: Complex systems; Time series analysis; Roughness; Financial data (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:370:y:2006:i:1:p:127-131

DOI: 10.1016/j.physa.2006.04.020

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