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Long term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development

  • T. Di Matteo
  • T. Aste
  • M. M. Dacorogna

The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That is why we use them to probe the different degree of markets development. We empirically study the scaling properties of daily Foreign Exchange rates, Stock Market indices and fixed income instruments by using the generalized Hurst approach. We show that the scaling exponents are associated with characteristics of the specific markets and can be used to differentiate markets in their stage of development. The robustness of the results is tested by both Monte-Carlo studies and a computation of the scaling in the frequency-domain.

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File URL: http://arxiv.org/pdf/cond-mat/0403681
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Paper provided by arXiv.org in its series Papers with number cond-mat/0403681.

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Date of creation: Mar 2004
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Publication status: Published in Journal of Banking & Finance 29/4 (2005) 827-851
Handle: RePEc:arx:papers:cond-mat/0403681
Contact details of provider: Web page: http://arxiv.org/

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