| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10480753 | Physica A: Statistical Mechanics and its Applications | 2012 | 10 Pages |
Abstract
⺠We study the generalized Hurst exponent dynamically with a weighing algorithm. ⺠We investigate time series of firms from different market sectors. ⺠2007-2008 bailed-out firms show an increasing generalized Hurst exponent. ⺠The increase is likely to be related to the big fluctuations in the return distributions. ⺠The multifractality of these time-series is increasing too throughout the crisis.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Raffaello Morales, T. Di Matteo, Ruggero Gramatica, Tomaso Aste,