In the past few decades considerable effort has been expended in characterizing and modeling financial time series. A number of stylized facts have been identified, and volatility clustering or the tendency toward persistence has emerged as the central feature. In this paper we propose an...

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...