Stock Indices for Emerging Markets

被引：8
|
作者：
Karpio, K. [1 ]
Orlowski, A. J. [1 ,2 ]
Lukasiewicz, P. [1 ]
机构：
[1] Katedra Informatyki SGGW, PL-02787 Warsaw, Poland
[2] Inst Fiz PAN, PL-02668 Warsaw, Poland
来源：
ACTA PHYSICA POLONICA A | 2010年 / 117卷 / 04期
关键词：
LOCAL HURST EXPONENT; FLUCTUATIONS;
D O I：
10.12693/APhysPolA.117.619
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
Indices of selected financial markets from various parts of world, different sizes and levels of development are investigated. The local Hurst exponent is globally compared to log-prices. Periodic changes in correlation coefficient are quantified via discrete Fourier transform. Local Hurst exponents spectra are discussed for investigated markets.
引用
收藏
页码：619 / 622
页数：4
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