Oct 5, 2000

Correlations in financial time series: established versus emerging markets

Eur. Phys. J. B 20, 527 (2001)

M. Beben and A. Orłowski

Long-time correlations in both well-developed and emerging market indexes are studied. The Hurst exponent as well as detrended fluctuations analysis (DFA) are used as technical tools. Some features that seem to be specific for developing markets are discovered and briefly discussed.