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Medientyp:
E-Artikel
Titel:
Different methodologies and uses of the hurst exponent in econophysics
Beteiligte:
López García, María de las Nieves;
Ramos Requena, Jose Pedro
Erschienen:
Editorial Universidad de Almeria, 2019
Erschienen in:
Studies of Applied Economics, 37 (2019) 2, Seite 96-108
Sprache:
Nicht zu entscheiden
DOI:
10.25115/eea.v37i2.2603
ISSN:
1697-5731;
1133-3197
Entstehung:
Anmerkungen:
Beschreibung:
The field of econophysics is still very young and is in constant evolution. One of the great innovations in finance coming from econophysics is the fractal market hypothesis, which contradicts the traditional efficient market hypothesis. From fractal market hypothesis new studies/models have emerged. The aim of this work is to review the bibliography on some of these new models, specifically those based on the Hurst exponent, explaining how they work, outline different forms of calculation and, finally, highlighting some of the empirical applications they have within the study of the financial market.