Hurst exponent and prediction based on weak-form efficient market hypothesis of stock markets

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 18, 2008, Pages 4630-4636

  Eom, Cheoljun ^a   Choi, Sunghoon ^a   Oh, Gabjin ^b   Jung, Woo Sung ^c  

^a Pusan National University   (South Korea)

^b Pohang University of Science and Technology (POSTECH)   (South Korea)

^c Boston University   (United States)

Author keywords

Econophysics; Hit rate; Hurst exponent

Indexed keywords

ASYMPTOTIC STABILITY; MARKETING;

ECONOPHYSICS; HIT RATE; HURST EXPONENT;

FINANCIAL DATA PROCESSING;

EID: 44149109112     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.03.035     Document Type: Article

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