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Dynamical generalized Hurst exponent as a tool to monitor unstable periods in financial time series

Morales, Raffaello; Di Matteo, Tiziana; Gramatica, Ruggero; Aste, Tomaso

Description

We investigate the use of the Hurst exponent, dynamically computed over a weighted moving time-window, to evaluate the level of stability/instability of financial firms. Financial firms bailed-out as a consequence of the 20072008 credit crisis show a neat increase with time of the generalized Hurst exponent in the period preceding the unfolding of the crisis. Conversely, firms belonging to other market sectors, which suffered the least throughout the crisis, show opposite behaviors. We find...[Show more]

CollectionsANU Research Publications
Date published: 2012
Type: Journal article
URI: http://hdl.handle.net/1885/71861
Source: Physica A: Statistical mechanics and its applications
DOI: 10.1016/j.physa.2012.01.004

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