Time and scale Hurst exponent analysis for financial markets

• Tipo: Artigo em Revista Científica Internacional
• Data: 2008

Autores

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

Revista

Título: Physica A: Statistical Mechanics and its Applications

Vol. 387 Nº 15

Páginas: 3910-3915

ISSN: 0378-4371

Editora: Elsevier

Indexação

ISI Web of Knowledge - 61 Citações

Scopus - 79 Citações

Classificação Científica

FOS: Ciências exactas e naturais > Física

Outras Informações

ID Authenticus: 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.

Idioma: Inglês

Tipo (Avaliação Docente): Científica

Nº de páginas: 6