Short-term Dependence in Time Series as an Index of Complexity: Example from the S&P-500 Index
The 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
|Date of creation:||01 Mar 2012|
|Publication status:||Published in International Business Research No. 9.Volume(2012): pp. 38-48|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
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- Dominique, C-René & Rivera-Solis, Luis Eduardo, 2011. "Mixed fractional Brownian motion, short and long-term Dependence and economic conditions: the case of the S&P-500 Index," MPRA Paper 34860, University Library of Munich, Germany. Full references (including those not matched with items on IDEAS)
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