An Empirical Study of the Stability of Hurst Exponent Behavior Applied to Russian and American Stock Markets

In the paper we study the stability of Hurst exponent behavior for Russian and American financial indicators. A specific technique is developed for analysis of its performance. A grouping method is suggested built on financial time series fractal properties.

MoreLess

Year of publication:	2007
Authors:	Zlotnik, Andrey
Published in:	Applied Econometrics. - Publishing House "SINERGIA PRESS". - Vol. 5.2007, 1, p. 20-29
Publisher:	Publishing House "SINERGIA PRESS"
Subject:	financial time series \| fractal processes \| persistent processes \| antipersistent processes \| stochastic processes \| R/S-analysis \| Hurst exponent

More details

Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; c18 ; c38 ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009644988