Dynamical generalized Hurst exponent as a tool to monitor unstable periods in financial time series

Physica A: Statistical Mechanics and its Applications

Volumn 391, Issue 11, 2012, Pages 3180-3189

  Morales, Raffaello ^a   Di Matteo, T ^a   Gramatica, Ruggero ^a   Aste, Tomaso ^b,c  

^a KING'S COLLEGE LONDON   (United Kingdom)

^b UNIVERSITY OF KENT   (United Kingdom)

^c AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

Author keywords

Econophysics; Generalized Hurst exponent; Multi scaling analysis

Indexed keywords

FINANCE; TIME SERIES;

ECONOPHYSICSS; FINANCIAL TIME SERIES; GENERALIZED HURST EXPONENT; MULTI-FRACTAL PROPERTY; MULTISCALING; RETURNS DISTRIBUTION; SCALING BEHAVIOR; STABILITY/INSTABILITY;

FINANCIAL DATA PROCESSING;

EID: 84858076406     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2012.01.004     Document Type: Article

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