Time and scale Hurst exponent analysis for financial markets

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 15, 2008, Pages 3910-3915

  Matos, José A O ^a   Gama, Sílvio M A ^a   Ruskin, Heather J ^b   Sharkasi, Adel Al ^b,c   Crane, Martin ^b  

^a UNIVERSITY OF PORTO   (Portugal)

^b DUBLIN CITY UNIVERSITY   (Ireland)

^c UNIVERSITY OF BENGHAZI   (Libyan Arab Jamahiriya)

Author keywords

Detrended fluctuation analysis; Econophysics; Hurst exponent; Long term memory processes

Indexed keywords

ASYMPTOTIC STABILITY; ENTROPY; INTERNATIONAL TRADE; MARKETING;

DETRENDED FLUCTUATION ANALYSIS; ECONOPHYSICS; HURST EXPONENT; LONG-TERM MEMORY PROCESSES;

FINANCIAL DATA PROCESSING;

EID: 42649096636     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.01.060     Document Type: Article

References (12)

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