In this work, the dynamical behavior of the US stock markets is characterized on the basis of the temporal variations of the Hurst exponent estimated with detrended fluctuation analysis (DFA) over moving windows for the historical Dow Jones (1928–2007) and the S&P-500 (1950–2007) daily...

Motivated by the recently evolutionary economic theories, we propose to study market efficiency from an informational entropy viewpoint. The basic idea is that, rather than being an all-or-none concept as in classic economic theories, market efficiency changes over time and over time horizons....

For both Northern and Southern hemispheres, the long-term memory dynamics for continent and ocean temperature records in the recent 125 years is studied in this paper. It is found that the records exhibit long-range memory and multifractality characteristics where large temperature anomalies...

This paper analyzes the auto-correlations of international crude oil prices on the basis of the estimation of the Hurst exponent dynamics for returns over the period from 1987 to 2007. In doing so, a model-free statistical approach--detrended fluctuation analysis--that reduces the effects of...