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Study of memory effects in international market indices

Author

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  • Mariani, M.C.
  • Florescu, I.
  • Beccar Varela, M.P.
  • Ncheuguim, E.

Abstract

Long term memory effects in stock market indices that represent internationally diversified stocks are analyzed in this paper and the results are compared with the S&P 500 index. The Hurst exponent and the Detrended fluctuation analysis (DFA) technique are the tools used for this analysis. The financial time-series data of these indices are tested with the Normalized Truncated Levy Flight to check whether the evolution of these indices is explained by the TLF.

Suggested Citation

  • Mariani, M.C. & Florescu, I. & Beccar Varela, M.P. & Ncheuguim, E., 2010. "Study of memory effects in international market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(8), pages 1653-1664.
    • Handle: RePEc:eee:phsmap:v:389:y:2010:i:8:p:1653-1664
    DOI: 10.1016/j.physa.2009.12.011
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    References listed on IDEAS

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    8. Bhandari, Avishek, 2020. "Long memory and fractality among global equity markets: A multivariate wavelet approach," MPRA Paper 99653, University Library of Munich, Germany.
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