Chen, Kan; Jayaprakash, C. - In: Physica A: Statistical Mechanics and its Applications 324 (2003) 1, pp. 258-265
We analyze the daily closing prices of the Strait Time Index (STI) as well as the individual stocks traded in Singapore's stock market from 1988 to 2001. We find that the Hurst exponent is approximately 0.6 for both the STI and individual stocks, while the normal correlation functions show the...
