Short-term Dependence in Time Series as an Index of Complexity: Example from the S&P-500 Index
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Dominique, C-Rene, 2013. "Estimating investors' behavior and errorsin probabilistic forecasts by the Kolmogorov entropy and noise colors of multifractal attractors," MPRA Paper 46231, University Library of Munich, Germany, revised 16 Apr 2013.
- Dominique, C-Rene, 2018. "Could Noise Spectra of Strange Attractors Better Explained Wealth and Income Inequalities? Evidence from the S&P-500 Index," MPRA Paper 84182, University Library of Munich, Germany.
- Dominique, C-Rene & Rivera-Solis, Luis Eduardo, 2012. "The dynamics of market share’s growth and competition in quadratic mappings," MPRA Paper 43652, University Library of Munich, Germany.
More about this item
KeywordsHurst Exponent; anti-persistence; fractal attractors; SDIC; chaos; inherent noise; market crashes; Renyi’s generalized fractal dimensions;
- 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
NEP fieldsThis 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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