Alvarez-Ramirez, Jose; Cisneros, Myriam; Ibarra-Valdez, … - In: Physica A: Statistical Mechanics and its Applications 313 (2002) 3, pp. 651-670
displays mixing of (rough) Hurst exponents. The existence of two characteristic time scales in the order of weeks and quarters … seem to demonstrate that the crude oil market is consistent with the random-walk assumption only at time scales of the … different time scales. …