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Time and scale Hurst exponent analysis for financial markets |
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| Authors: | José AO Matos Sílvio MA Gama Heather J Ruskin Martin Crane |
| Institution: | a Faculdade de Economia da Universidade do Porto, Portugal b Centro de Matemática da Universidade do Porto, Portugal c Faculdade de Ciências da Universidade do Porto Portugal d School of Computing, Dublin City University, Ireland e Department of Statistics, Faculty of Science, Garyounis University, Libya |
| Abstract: | 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. |
| Keywords: | 89 65 Gh 05 40 -a 05 40 Fb |
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