R/S financial market analysis
Articles
Svetlana Danilenko
Vilnius Gediminas Technical University
Published 2008-12-21
https://doi.org/10.15388/LMR.2008.33
PDF

Keywords

R/S analysis
Hurst parameter
financial markets
share index

How to Cite

Danilenko , S. (2008) “R/S financial market analysis”, Lietuvos matematikos rinkinys, 48(proc. LMS), pp. 186–190. doi:10.15388/LMR.2008.33.

Abstract

This work discusses the application of R/S analysis to financial markets. The most of the work is devoted to the calculation of Hurst parameter. The Hurst parameters of the Baltic state shares indices are presented.

PDF

Downloads

Download data is not yet available.