Scaling behaviors in differently developed markets

T. Di Matteo; T. Aste; M. M. Dacorogna

doi:10.1016/S0378-4371(02)01996-9

Scaling behaviors in differently developed markets

T. Di Matteo^*, T. Aste, M. M. Dacorogna

^*Corresponding author for this work

Research output: Contribution to journal › Conference article › peer-review

257 Citations (Scopus)

Abstract

Scaling properties of four different stock market indices were studied in terms of generalized Hurst exponent approach. It was verified that the observed differentiation among different degrees of market development emerged above the numerical fluctuations. The deviations from pure Brownian motion behavior were associated with the degrees of development of the market.

Original language	English
Pages (from-to)	183-188
Number of pages	6
Journal	Physica A: Statistical Mechanics and its Applications
Volume	324
Issue number	1-2
DOIs	https://doi.org/10.1016/S0378-4371(02)01996-9
Publication status	Published - 1 Jun 2003
Event	Proceedings of the International Econophysics Conference - Bali, Indonesia Duration: 29 Aug 2002 → 31 Aug 2002

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title = "Scaling behaviors in differently developed markets",

abstract = "Scaling properties of four different stock market indices were studied in terms of generalized Hurst exponent approach. It was verified that the observed differentiation among different degrees of market development emerged above the numerical fluctuations. The deviations from pure Brownian motion behavior were associated with the degrees of development of the market.",

author = "{Di Matteo}, T. and T. Aste and Dacorogna, {M. M.}",

year = "2003",

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doi = "10.1016/S0378-4371(02)01996-9",

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journal = "Physica A: Statistical Mechanics and its Applications",

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note = "Proceedings of the International Econophysics Conference ; Conference date: 29-08-2002 Through 31-08-2002",

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T1 - Scaling behaviors in differently developed markets

AU - Di Matteo, T.

AU - Aste, T.

AU - Dacorogna, M. M.

PY - 2003/6/1

Y1 - 2003/6/1

N2 - Scaling properties of four different stock market indices were studied in terms of generalized Hurst exponent approach. It was verified that the observed differentiation among different degrees of market development emerged above the numerical fluctuations. The deviations from pure Brownian motion behavior were associated with the degrees of development of the market.

AB - Scaling properties of four different stock market indices were studied in terms of generalized Hurst exponent approach. It was verified that the observed differentiation among different degrees of market development emerged above the numerical fluctuations. The deviations from pure Brownian motion behavior were associated with the degrees of development of the market.

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U2 - 10.1016/S0378-4371(02)01996-9

DO - 10.1016/S0378-4371(02)01996-9

M3 - Conference article

SN - 0378-4371

VL - 324

SP - 183

EP - 188

JO - Physica A: Statistical Mechanics and its Applications

JF - Physica A: Statistical Mechanics and its Applications

IS - 1-2

T2 - Proceedings of the International Econophysics Conference

Y2 - 29 August 2002 through 31 August 2002

ER -

Scaling behaviors in differently developed markets

Abstract

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