Some comments on Hurst exponent and the long memory processes on capital markets

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 22, 2008, Pages 5543-5551

  Sanchez Granero M A ^a   Trinidad Segovia, J E ^a   Garcia Perez J ^a  

^a UNIVERSITY OF ALMERÍA   (Spain)

Author keywords

Financial market; Hurst exponent; Long memory

Indexed keywords

FINANCE; INDUSTRIAL ECONOMICS;

APPLIED (CO); CAPITAL MARKETS; EFFICIENT MARKET HYPOTHESIS (EMH); ELSEVIER (CO); GEOMETRICAL METHODS; HURST EXPONENTS; LONG MEMORIES; LONG-MEMORY PROCESSES; RESCALED-RANGE (R/S) ANALYSIS;

MARKETING;

EID: 47649091896     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.05.053     Document Type: Article

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