HURST EXPONENTS IN FUTURES EXCHANGE MARKETS

DOI10.1142/S0129183106010157zbMath1203.91274OpenAlexW2126957984MaRDI QIDQ3427085

Myung-Kul Yum, Soo Yong Kim, Kyungsik Kim, Min-Ho Lee

Publication date: 14 March 2007

Published in: International Journal of Modern Physics C (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0129183106010157

zbMATH Keywords

Hurst exponentmultifractal measureKTBmodified rescaled range analysis

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Long-range correlations and nonstationarity in the Brazilian stock market
• Elements for a theory of financial risks
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Long-Term Memory in Stock Market Prices
• Minority games and stylized facts

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