Scaling behaviors in differently developed markets. (English) Zbl 1072.91565
Summary: Scaling properties of four different stock market indices are studied in terms of a generalized Hurst exponent approach. We find that the deviations from pure Brownian motion behavior are associated with the degrees of development of the markets and we observe strong differentiations in the scaling properties of markets at different development stage.
MSC:
| 91B26 | Auctions, bargaining, bidding and selling, and other market models |
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