Time-varying Hurst exponent for US stock markets
Por:
Alvarez-Ramirez J., Alvarez J., Rodriguez E., Fernandez-Anaya G.
Publicada:
15 oct 2008
Resumen:
In this work, the dynamical behavior of the US stock markets is characterized on the basis of the temporal variations of the Hurst exponent estimated with detrended fluctuation analysis (DFA) over moving windows for the historical Dow Jones (1928-2007) and the S&P-500 (1950-2007) daily indices. According to the results drawn: (i) the Hurst exponent displays an erratic dynamics with some episodes alternating low and high persistent behavior, (ii) the major breakthrough of the long-term trend of the scaling behavior occurred in 1972, at the end of the Bretton Woods system, when the Hurst exponent shifted form a positive to a negative long-term trend. Other effects, such as the 1987 crisis and the emergence of anti-correlated behavior in the recent two years, are also discussed. (C) 2008 Elsevier B.V. All rights reserved.
Filiaciones:
Alvarez-Ramirez J.:
Departamento de Fisica y Matematicas, Universidad Iberoamericana, Av. Prolongacion Paseo la Reforma 880, Lomas de Santa Fe, Mexico D.F. 01210, Mexico
Alvarez J.:
Departamento de Fisica y Matematicas, Universidad Iberoamericana, Av. Prolongacion Paseo la Reforma 880, Lomas de Santa Fe, Mexico D.F. 01210, Mexico
Rodriguez E.:
Departamento de Fisica y Matematicas, Universidad Iberoamericana, Av. Prolongacion Paseo la Reforma 880, Lomas de Santa Fe, Mexico D.F. 01210, Mexico
Fernandez-Anaya G.:
Departamento de Fisica y Matematicas, Universidad Iberoamericana, Av. Prolongacion Paseo la Reforma 880, Lomas de Santa Fe, Mexico D.F. 01210, Mexico
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