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

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 2007–2008 credit crisis show a neat increase with time of the generalized Hurst...

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Veröffentlicht in:	Physica A 2012-06, Vol.391 (11), p.3180-3189
Hauptverfasser:	Morales, Raffaello, Di Matteo, T., Gramatica, Ruggero, Aste, Tomaso
Format:	Artikel
Sprache:	eng
Schlagworte:	Dynamic tests Econophysics Exponents Fluctuation Fractal analysis Generalized Hurst exponent Monitors Multi-scaling analysis Stability Time series
Online-Zugang:	Volltext
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