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  • Search: subject:"fractal dimensions"
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Subject
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Hurst Exponent 1 Renyi’s generalized fractal dimensions 1 SDIC 1 anti-persistence 1 chaos 1 fractal attractors 1 inherent noise 1 market crashes 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
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Undetermined 1
Author
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Dominique, C-Rene 1 Rivera-Solis, Luis Eduardo 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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MPRA Paper 1
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RePEc 1
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Short-term Dependence in Time Series as an Index of Complexity: Example from the S&P-500 Index
Dominique, C-Rene; Rivera-Solis, Luis Eduardo - Volkswirtschaftliche Fakultät, … - 2012
The capital market is a reflexive dynamical input/output construct whose output (time series) is usually assessed by an index of roughness known as Hurst’s exponent (H). Oddly enough, H has no theoretical foundation, but recently it has been found experimentally to vary from persistence (H ...
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