Matos, José A.O.; Gama, Sílvio M.A.; Ruskin, Heather J.; … - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 15, pp. 3910-3915
We use a new method of studying the Hurst exponent with time and scale dependency. This new approach allows us to recover the major events affecting worldwide markets (such as the September 11th terrorist attack) and analyze the way those effects propagate through the different scales. The...