Correlations in financial time series: established versus emerging markets
Szkoła Nauk Ścisłych - College of Sciences, Aleja Lotników 32/46, 02-668 Warszawa, Poland
2 Instytut Fizyki PAN, Aleja Lotników 32/46, 02-668 Warszawa, Poland Katedra Ekonometrii i Informatyki, SGGW, Ul. Nowoursynowska 166, 02-787 Warszawa, Poland
Corresponding author: a firstname.lastname@example.org
Published online: 15 April 2001
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.
PACS: 05.45.Tp – Time series analysis / 89.65.Gh – Economics, business, and financial markets / 89.75.Fb – Structures and organization in complex systems
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2001