Is the expression H = 1 / (3 - q) valid for real financial data?

Physica A: Statistical Mechanics and its Applications

Volumn 373, Issue , 2007, Pages 593-602

  Cajueiro, Daniel O ^a   Tabak, Benjamin M ^a,b  

^a UNIVERSIDADE CATÓLICA DE BRASÍLIA   (Brazil)

^b BANCO CENTRAL DO BRASIL   (Brazil)

Author keywords

Entropic index; Financial data; Hurst exponent; Long range dependence

Indexed keywords

DATABASE SYSTEMS; ENTROPY; STATISTICAL METHODS; THERMODYNAMIC PROPERTIES;

ENTROPIC INDICES; FINANCIAL DATA; HURST EXPONENT; LONG-RANGE DEPENDENCE;

STATISTICAL MECHANICS;

EID: 33750487122     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2006.05.054     Document Type: Article

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