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|
|Date of revision:|
|Publication status:||Published in International Business Research No. 9.Volume(2012): pp. 38-48|
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