Open AccessR/S financial market analysis
Author(s) -
Svetlana Danilenko
Publication year - 2008
Publication title -
lietuvos matematikos rinkinys
Language(s) - English
Resource type - Journals
eISSN - 2335-898X
pISSN - 0132-2818
DOI - 10.15388/lmr.2008.33
Subject(s) - hurst exponent , financial market , work (physics) , economics , econometrics , financial economics , mathematical economics , mathematics , finance , statistics , engineering , mechanical engineering
This work discusses the application of R/S analysis to financial markets. The most of the work is devoted to the calculation of Hurst parameter. The Hurst parameters of the Baltic state shares indices are presented.