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• W2949272431 abstract "We empirically analyze the scaling properties of daily Foreign Exchange rates, Stock Market indices and Bond futures across different financial markets. We study the scaling behaviour of the time series by using a generalized Hurst exponent approach. We verify the robustness of this approach and we compare the results with the scaling properties in the frequency-domain. We find evidence of deviations from the pure Brownian motion behavior. We show that these deviations are associated with characteristics of the specific markets and they can be, therefore, used to distinguish the different degrees of development of the markets." @default.
• W2949272431 created "2019-06-27" @default.
• W2949272431 creator A5035375830 @default.
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• W2949272431 date "2003-02-21" @default.
• W2949272431 modified "2023-09-24" @default.
• W2949272431 title "Using the Scaling Analysis to Characterize Financial Markets" @default.
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• W2949272431 hasPublicationYear "2003" @default.
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