Short-term Dependence in Time Series as an Index of Complexity: Example from the S&P-500 Index

C-René Dominique, Luis Eduardo Rivera Solis

Abstract


The capital market is a reflexive dynamical input/output construct whose output (time series) is usually assessed by an index of roughness known as Hurst’s exponent (H). Oddly enough, H has no theoretical foundation, but recently it has been found experimentally to vary from persistence (H > 1/2) or long-term dependence to anti-persistence (H < 1/2) or short-term dependence. This paper uses the thrown-offs of quadratic maps (modeled asymptotically) and singularity spectra of fractal sets to characterize H, the alternateness of dependence, and market crashes while proposing a simpler method of computing the correlation dimension than the Grassberger-Procaccia procedure.

Full Text: PDF DOI: 10.5539/ibr.v5n9p38

Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.

International Business Research  ISSN 1913-9004 (Print), ISSN 1913-9012 (Online)

Copyright © Canadian Center of Science and Education

To make sure that you can receive messages from us, please add the 'ccsenet.org' domain to your e-mail 'safe list'. If you do not receive e-mail in your 'inbox', check your 'bulk mail' or 'junk mail' folders.