Time-varying Hurst exponent for US stock markets

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 24, 2008, Pages 6159-6169

  Alvarez Ramirez, Jose ^a   Alvarez, Jesus ^a   Rodriguez, Eduardo ^a   Fernandez Anaya, Guillermo ^a  

^a UNIVERSIDAD IBEROAMERICANA   (Mexico)

Author keywords

Detrended fluctuation analysis; Econophysics; Stock markets; Structural changes

Indexed keywords

INVENTORY CONTROL;

DETRENDED FLUCTUATION ANALYSIS; DOW JONES; DYNAMICAL BEHAVIORS; ECONOPHYSICS; HURST EXPONENTS; LONG-TERM TRENDS; MOVING WINDOWS; SCALING BEHAVIORS; STOCK MARKETS; STRUCTURAL CHANGES; TEMPORAL VARIATIONS; TIME-VARYING;

COMMERCE;

EID: 49649124336     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.06.056     Document Type: Article

References (19)

1. Stewart J., and Hertzberg D. How the stock market almost disintegrated a day after the crash. Wall Street Journal 20 November (1987) 1
2. Peng C.K., Buldyrev S.V., Simons M., Stanley H.E., and Goldberger A.L. Mosaic organization of DNA nucleotides. Phys. Rev. E 49 (1994) 1685-1689
3. Liu Y., Gopikrishnan P., Cizeau P., Meyer M., Peng Ch.-K., and Stanley H.E. Statistical properties of the volatility of price fluctuations. Phys. Rev. E 60 (1999) 1390-1400
4. Grau-Carles P. Long-range power-law correlations in stock returns. Physica A 299 (2001) 521-527
5. Coronel-Brizio H.F., Hernandez-Montoyaa A.R., Huerta-Quintanilla R., and Rodriguez-Achach M. Evidence of increment of efficiency of the Mexican Stock Market through the analysis of its variations. Physica A 380 (2007) 391-398
6. Serletis A., Uritskaya O.Y., and Uritsky V.M. Detrended fluctuation analysis of the US stock market. Int. J. Bifurc. Chaos 18 (2007) 599-603
7. Grecha D., and Mazur Z. Can one make any crash prediction in finance using the local Hurst exponent idea?. Physica A 336 (2004) 133-145
8. Mantegna R.N., and Stanley H.E. An Introduction to Econophysics. Correlations and Complexity in Finance (2000), Cambridge University Press, Cambridge, England
9. Cajueiro D.O., and Tabak B.M. Testing for time-varying long range dependence volatility for emerging markets. Physica A 346 (2005) 577-588
10. Hu K., Ivanov P.Ch., Chen Z., Carpena P., and Stanley H.E. Effect of trends on detrended fluctuation analysis. Phys. Rev. E 64 (2001) 011114
11. Mason E.S., and Asher R.E. The World Bank Since Bretton Woods (1973), The Brookings Institution, Washington, DC pp. 105-107, 124-135
12. Fama E. Efficient capital markets: a review of theory and empirical work. Journal of Finance 25 (1970) 383-417
13. A. Dreman, Contrarian Investment Strategy, Dreman Contrarian Group, 1979
14. Firth M. The Profitability of takeovers and mergers. Econom. J. 89 (1979) 316-328
15. DeBondt W., and Thaler R. Does the stock market overreact?. J. Finance 40 (1985) 793-805
16. DeBondt W., and Thaler R. Further evidence on investor overreaction and stock market seasonality. J. Finance 42 (1987) 557-582
17. Poterba J., and Summers L. Mean reversion in stock market returns: Evidence and implications. J. Financial Econom. 22 (1988) 27-60
18. Poterba J., and Summers L. The persistence of volatility and stock market fluctuations. Amer. Econom. Rev. 76 (1986) 1142-1151
19. Lo A.W., and MacKinlay A.C. A Non-Random Walk Down Wall Street (1999), Princeton University Press