Di Matteo, T.; Aste, T.; Dacorogna, M.M. - In: Physica A: Statistical Mechanics and its Applications 324 (2003) 1, pp. 183-188
Scaling properties of four different stock market indices are studied in terms of a generalized Hurst exponent approach. We find that the deviations from pure Brownian motion behavior are associated with the degrees of development of the markets and we observe strong differentiations in the...