Time and scale Hurst exponent analysis for financial markets

• Type: Article in International Scientific Journal
• Date: 2008

Authors

Jose A O Matos (Author) FEP; Silvio M A Gama (Author) FCUP; Heather J Ruskin (Author) Other; Adel Al Sharkasi (Author) Other; Martin Crane (Author) Other

Journal

Title: Physica A: Statistical Mechanics and its Applications

Vol. 387 No. 15

Pages: 3910-3915

ISSN: 0378-4371

Publisher: Elsevier

Indexing

ISI Web of Knowledge - 61 Citations

Scopus - 79 Citations

Scientific classification

FOS: Natural sciences > Physical sciences

Other information

Authenticus ID: P-003-YHJ

DOI: 10.1016/j.physa.2008.01.060

Abstract (EN): We use a new method of studying the Hurst exponent with time and scale dependency. This new approach allows us to recover the major events affecting worldwide markets (such as the September 11th terrorist attack) and analyze the way those effects propagate through the different scales. The time-scale dependence of the referred measures demonstrates the relevance of entropy measures in distinguishing the several characteristics of market indices: "effects" include early awareness, patterns of evolution as well as comparative behaviour distinctions in emergent/established markets.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 6