Correlations in financial time series: established versus emerging markets

被引：43

作者：

Beben, M

Orlowski, A

机构：

[1] Szkola Nauk Scislych, Coll Sci, PL-02668 Warsaw, Poland

[2] Inst Fizyki PAN, PL-02668 Warsaw, Poland

[3] SGGW, Katedra Ekonometrii & Informat, PL-02787 Warsaw, Poland

来源：

EUROPEAN PHYSICAL JOURNAL B | 2001年 / 20卷 / 04期

关键词：

D O I：

10.1007/s100510170233

中图分类号：

O469 [凝聚态物理学];

学科分类号：

070205 ;

摘要：

Long-time correlations in both well-developed and emerging market indexes are studied. The Hurst exponent as well as detrended fluctuations analysis (DFA) are used as technical tools. Some features that seem to be specific for developing markets are discovered and briefly discussed.

引用

页码：527 / 530

页数：4

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