The capital market is a reflexive dynamical input/output construct whose output (time series) is usually assessed by an index of roughness known as Hurst’s exponent (H). Oddly enough, H has no theoretical foundation, but recently it has been found experimentally to vary from persistence (H ...

Over the periods 1998-2002 and 2009-2011, the S&P-500 Index went from persistence to anti-persistence mode, as measured by the Hurst index H. To uncover the reasons that characterize such a change, this paper uses a simple method that consists in treating quasi self-similar segments of the Index...

This paper shows that the observed output of any market, placed within the confine of a quadratic map, can characterize the state of that market. Such an approach explains the process of market share’s growth and its pitfalls, the consequences of broken symmetry of scaling, as well as the...

Empirical literature examining cross-country growth within the simple Solow framework invariably chooses to let the relationships between growth and its determinants stay constant over time. In an era of rapidly changing economies, this may not be wise. We track these correlations from 1982...

This study investigates whether there is an increased integration of U.S. domestic money market interest rates and the Eurodollar market interest rates following two important changes that the U.S Federal Reserve (the Fed) implemented. First, elimination of reserve requirements on Eurodollar...

This paper investigates the degree of integration of in the North American equity markets in the post NAFTA period, 1994 to 2006 and two sub post NAFTA period: 1994-1999 and 2000-2006 using daily stock closing price(s) indices. The Johansen and Juselius (1990) method for determining the presence...