In this paper we investigate long range dependence in twenty two world stock markets for the time period Jan-2000 to Sep-2013. A three stage analysis is performed, applying test for stationarity, test for nonlinearity, and finally, estimation of Hurst exponent using Rescaled Range Analysis. In...

In this paper we want to discuss macroscopic and microscopic properties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special...