The Hurst exponent in energy futures prices

Physica A: Statistical Mechanics and its Applications

Volumn 380, Issue 1-2, 2007, Pages 325-332

  Serletis, Apostolos ^a   Rosenberg, Aryeh Adam ^a  

^a UNIVERSITY OF CALGARY   (Canada)

Author keywords

Detrending moving average analysis; Efficient market hypothesis; Power laws; Random walk

Indexed keywords

BIFURCATION (MATHEMATICS); CORRELATION METHODS; COST ACCOUNTING; DATABASE SYSTEMS; MARKETING; RANDOM PROCESSES;

DETRENDING MOVING AVERAGE ANALYSIS; EFFICIENT MARKET HYPOTHESIS; POWER LAWS; RANDOM WALK;

CHAOS THEORY;

EID: 34247868221     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2007.02.055     Document Type: Article

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