Short-term Dependence in Time Series as an Index of Complexity: Example from the S&P-500 Index
AbstractThe 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 > 1/2) or long-term dependence to anti-persistence (H
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 41408.
Date of creation: 01 Mar 2012
Date of revision:
Publication status: Published in International Business Research No. 9.Volume(2012): pp. 38-48
Hurst Exponent; anti-persistence; fractal attractors; SDIC; chaos; inherent noise; market crashes; Renyi’s generalized fractal dimensions;
Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- A1 - General Economics and Teaching - - General Economics
- G01 - Financial Economics - - General - - - Financial Crises
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-30 (All new papers)
- NEP-ECM-2012-09-30 (Econometrics)
- NEP-ETS-2012-09-30 (Econometric Time Series)
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