Correlations in financial time series: established versus emerging markets

M. Beben and A. Orłowski
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M. Beben: Szkoła Nauk Ścisłych - College of Sciences, Aleja Lotników 32/46, 02-668 Warszawa, Poland
A. Orłowski: Instytut Fizyki PAN, Aleja Lotników 32/46, 02-668 Warszawa, Poland Katedra Ekonometrii i Informatyki, SGGW, Ul. Nowoursynowska 166, 02-787 Warszawa, Poland

The European Physical Journal B: Condensed Matter and Complex Systems, 2001, vol. 20, issue 4, 527-530

Abstract: Abstract: Long-time correlations in both well-developed and emerging market indexes are studied. The Hurst exponent as well as detrended fluctuations analysis (DFA) are used as technical tools. Some features that seem to be specific for developing markets are discovered and briefly discussed.

Keywords: PACS. 05.45.Tp Time series analysis – 89.65.Gh Economics; business; and financial markets – 89.75.Fb Structures and organization in complex systems (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (7)

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DOI: 10.1007/s100510170233

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