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

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