Skip navigation
Skip navigation

Scaling Behaviors in Differently Developed Markets

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


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
Source: Physica A: Statistical mechanics and its applications
DOI: 10.1016/S0378-4371(02)01996-9


There are no files associated with this item.

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  19 May 2020/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator