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Scaling Behaviors in Differently Developed Markets

Di Matteo, Tiziana; Aste, Tomaso; Dacorogna, Michel

Description

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.

CollectionsANU Research Publications
Date published: 2003
Type: Journal article
URI: http://hdl.handle.net/1885/86620
Source: Physica A: Statistical mechanics and its applications
DOI: 10.1016/S0378-4371(02)01996-9

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