An econophysics approach to the Portuguese Stock Index—PSI-20

We analyse the PSI-20 (Portuguese Stock Index) data series from 1993 to 2001, with a view to examining the structure of the series, the appropriateness of the standard model forms for these data and evidence for market maturation.

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Year of publication:	2004
Authors:	Matos, José A.O. ; Gama, Sı́lvio M.A. ; Ruskin, Heather J. ; Duarte, José A.M.S.
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 342.2004, 3, p. 665-676
Publisher:	Elsevier
Subject:	Long-term memory processes \| Detrended fluctuation analysis \| Hurst exponent \| Econophysics

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011059107