Estimating The Fractal Dimension Of The S&P 500 Index Using Wavelet Analysis (2003)
by
Erhan Bayraktar
,
H. Vincent Poor
,
K. Ronnie Sircar
| Citations: | 7 - 3 self |
BibTeX
@MISC{Bayraktar03estimatingthe,
author = {Erhan Bayraktar and H. Vincent Poor and K. Ronnie Sircar},
title = {Estimating The Fractal Dimension Of The S&P 500 Index Using Wavelet Analysis},
year = {2003}
}
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Abstract
S&P 500 index data sampled at one-minute intervals over the course of 11.5 years (January 1989- May 2000) is analyzed, and in particular the Hurst parameter over segments of stationarity (the time period over which the Hurst parameter is almost constant) is estimated.
