A fundamental hypothesis of quantitative finance is that stock price variations are independent and can be modeled using Brownian motion. In recent years, it was proposed to use rescaled range analysis and its characteristic value, the Hurst exponent, to test for independence in financial time...

Hurst's exponent H is obtained for historical precipitation data in northeast Brazil. The influence of periodic natural forces in the data is reflected by the presence of breaks and steps in the plots of the R/S signal vs. the time lag τ. The reliability of the results for actual data is tested...

The main objective of this paper is to investigate the validity of the much-used assumptions that stock market returns follow a random walk and are normally distributed. For this purpose the concepts of chaos theory and fractals are applied. Two independent models are used to examine price...