Morales, Raffaello; Di Matteo, T.; Gramatica, Ruggero; … - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 11, pp. 3180-3189
We investigate the use of the Hurst exponent, dynamically computed over a weighted moving time-window, to evaluate the level of stability/instability of financial firms. Financial firms bailed-out as a consequence of the 2007–2008 credit crisis show a neat increase with time of the generalized...