Work

Dynamical generalized Hurst exponent as a tool to monitor unstable periods in financial time series

Year: 2012

Type: article

Source: Physica A Statistical Mechanics and its Applications

DOI: 10.1016/j.physa.2012.01.004

Authors: Raffaello Morales, T. Di Matteo, Ruggero Gramatica, Tomaso Aste

Institutions: King's College London, Australian National University, University of Kent

Language: English

Topic: Complex Systems and Time Series Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1489534864

FWCI: 26.78

Cites: 38

Cited by: 146

Related to: 10