Diffusion entropy analysis on the scaling behavior of financial markets
نویسندگان
چکیده
منابع مشابه
Diffusion entropy analysis on the scaling behavior of financial markets
In this paper the diffusion entropy technique is applied to investigate the scaling behavior of financial markets. The scaling behaviors of four representative stock markets, Dow Jones Industrial Average, Standard&Poor 500, Heng Seng Index, and Shang Hai Stock Synthetic Index, are almost the same; with the scale-invariance exponents all in the interval 1⁄20:92; 0:95 . We also estimate the local...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2006
ISSN: 0378-4371
DOI: 10.1016/j.physa.2005.12.004