Alfi, V.; Coccetti, F.; Marotta, M.; Petri, A.; … - In: Physica A: Statistical Mechanics and its Applications 370 (2006) 1, pp. 127-131
We consider the role of finite size effects on the value of the effective Hurst exponent H. This problem is motivated by the properties of the high-frequency daily stock-prices. For a finite size random walk we derive some exact results based on Spitzer's identity. The conclusion is that finite...