Time-varying Hurst-Hölder exponents and the dynamics of (in)efficiency in stock markets

DOI10.1016/j.chaos.2018.02.015zbMath1458.62235OpenAlexW2793595938MaRDI QIDQ1636954

Augusto Pianese, Sergio Bianchi

Publication date: 7 June 2018

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2018.02.015

zbMATH Keywords

multifractional Brownian motionefficient market hypothesisHurst-Hölder pointwise regularity exponents

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09)

Related Items (3)

Fuzzy clustering of time series with time-varying memory ⋮ A statistical test of market efficiency based on information theory ⋮ Fractal-based analysis of sign language

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