An Empirical Study of the Stability of Hurst Exponent Behavior Applied to Russian and American Stock Markets
In the paper we study the stability of Hurst exponent behavior for Russian and American financial indicators. A specific technique is developed for analysis of its performance. A grouping method is suggested built on financial time series fractal properties.
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- Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996.
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