Can one make any crash prediction in finance using the local Hurst exponent idea?

Physica A: Statistical Mechanics and its Applications

Volumn 336, Issue 1-2, 2004, Pages 133-145

  Grech, D ^a   Mazur, Z ^a  

^a UNIVERSITY OF WROC AW   (Poland)

Author keywords

Brownian motion; Correlations; Econophysics; Hurst exponent; Scaling laws; Time series

Indexed keywords

BROWNIAN MOVEMENT; CORRELATION METHODS; FORECASTING; INDUSTRIAL ECONOMICS; MARKETING; TIME SERIES ANALYSIS;

ECONOPHYSICS; HURST EXPONENTS; SCALING LAWS; STOCK MARKET;

FINANCIAL DATA PROCESSING;

EID: 1442358083     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.01.018     Document Type: Conference Paper

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