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Time-dependent Hurst exponent in financial time series

Physica A Statistical Mechanics and its Applications · 2004 · Vol. 344(1-2) · pp. 267–271

A. Carbone✉(Polytechnic University of Turin)G. Castelli(Polytechnic University of Turin)H. Eugene Stanley(Boston University)

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Complex Systems and Time Series Analysis Financial Risk and Volatility Modeling Chaos control and synchronizationHurst exponentMathematicsExponentSeries (stratigraphy)Fractional Brownian motionScalingStatistical physicsDetrended fluctuation analysisSpectral densityBrownian motion

Funding

National Science Foundation

Citations

402

FWCI

46.89

field-weighted impact

References

23

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References

Fractionally integrated generalized autoregressive conditional heteroskedasticity

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Econometrica · 1982 · 20,395 citations

Generalized autoregressive conditional heteroskedasticity

Journal of Econometrics · 1986 · 22,015 citations

Statistical properties of the volatility of price fluctuations

Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics · 1999 · 734 citations

Mosaic organization of DNA nucleotides

Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics · 1994 · 4,964 citations

Effect of trends on detrended fluctuation analysis

Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics · 2001 · 1,286 citations

Effect of nonstationarities on detrended fluctuation analysis

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<i>An Introduction to Econophysics: Correlations and Complexity in Finance</i>

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