Long-range correlations and nonstationarity in the Brazilian stock market

DOI10.1016/S0378-4371(03)00607-1zbMath1056.91506arXivcond-mat/0302342OpenAlexW3099196597MaRDI QIDQ1409103

Rogério L. Costa, Giovani L. Vasconcelos

Publication date: 5 October 2003

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0302342

zbMATH Keywords

multifractional Brownian motionHurst exponentIbovespa index

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (12)

Investigation on financial crises with the negative-information-propagation-induced model ⋮ Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process ⋮ MULTIFRACTIONAL PROPERTIES OF STOCK INDICES DECOMPOSED BY FILTERING THEIR POINTWISE HÖLDER REGULARITY ⋮ The cross-correlation analysis of multi property of stock markets based on MM-DFA ⋮ Investigation of non-Gaussian effects in the Brazilian option market ⋮ Modified generalized sample entropy and surrogate data analysis for stock markets ⋮ Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity ⋮ Inefficiency in Latin-American market indices ⋮ Multi-scale correlations in different futures markets ⋮ The sub-fractional CEV model ⋮ HURST EXPONENTS IN FUTURES EXCHANGE MARKETS ⋮ Multi-scaling in finance

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