Scaling behaviors in differently developed markets

Scaling properties of four different stock market indices are studied in terms of a generalized Hurst exponent approach. We find that the deviations from pure Brownian motion behavior are associated with the degrees of development of the markets and we observe strong differentiations in the scaling properties of markets at different development stage.

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Year of publication:	2003
Authors:	Di Matteo, T. ; Aste, T. ; Dacorogna, M.M.
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 324.2003, 1, p. 183-188
Publisher:	Elsevier

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

Persistent link: https://www.econbiz.de/10010588459