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Scaling behaviors in differently developed markets

Di Matteo, T; Aste, T; Dacorogna, MM; (2003) Scaling behaviors in differently developed markets. Physica A: Statistical Mechanics and its Applications , 324 (1-2) 183 - 188. 10.1016/S0378-4371(02)01996-9.

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Abstract

Scaling properties of four different stock market indices were studied in terms of generalized Hurst exponent approach. It was verified that the observed differentiation among different degrees of market development emerged above the numerical fluctuations. The deviations from pure Brownian motion behavior were associated with the degrees of development of the market.

Type:Article
Title:Scaling behaviors in differently developed markets
DOI:10.1016/S0378-4371(02)01996-9
UCL classification:UCL > School of BEAMS > Faculty of Engineering Science > Computer Science

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