Dynamical generalized Hurst exponent as a tool to monitor unstable periods in financial time series
Morales, Raffaello; Di Matteo, Tiziana; Gramatica, Ruggero; Aste, Tomaso
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]
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|Source:||Physica A: Statistical mechanics and its applications|
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