Short-term Dependence in Time Series as an Index of Complexity: Example from the S&P-500 Index
Year of publication: |
2012-03-01
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Authors: | Dominique, C-Rene ; Rivera-Solis, Luis Eduardo |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Hurst Exponent | anti-persistence | fractal attractors | SDIC | chaos | inherent noise | market crashes | Renyi’s generalized fractal dimensions |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published in International Business Research No. 9.Volume(2012): pp. 38-48 |
Classification: | G1 - General Financial Markets ; C6 - Mathematical Methods and Programming ; A1 - General Economics ; G01 - Financial Crises |
Source: |
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Short-term Dependence in Time Series as an Index of Complexity: Example from the S&P-500 Index
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