Some comments on Hurst exponent and the long memory processes on capital markets

M.A. Sánchez Granero, J.E. Trinidad Segovia and Jose Pérez ()
Authors registered in the RePEc Author Service: Juan Evangelista Trinidad-Segovia ()

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 22, 5543-5551

Abstract: The analysis of long memory processes in capital markets has been one of the topics in finance, since the existence of the market memory could implicate the rejection of an efficient market hypothesis. The study of these processes in finance is realized through Hurst exponent and the most classical method applied is R/S analysis. In this paper we will discuss the efficiency of this methodology as well as some of its more important modifications to detect the long memory. We also propose the application of a classical geometrical method with short modifications and we compare both approaches.

Keywords: Hurst exponent; Financial market; Long memory (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (52)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:22:p:5543-5551

DOI: 10.1016/j.physa.2008.05.053

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