R/S financial market analysis

Svetlana  Danilenko

doi:10.15388/LMR.2008.33

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.

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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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