Long Correlations and Levy Models Applied to the Study of Memory Effects in High Frequency (Tick) Data
Physica A, 389(8), April 2010, pp 1653-1664
12 Pages Posted: 26 May 2012 Last revised: 23 Mar 2018
Date Written: January 1, 2009
Long term memory effects in stock market indices that represent internationally diversified stocks are analyzed in this paper and the results are compared with the S&P 500 index. The Hurst exponent and the Detrended fluctuation analysis (DFA) technique are the tools used for this analysis. The financial time-series data of these indices are tested with the Normalized Truncated Levy Flight to check whether the evolution of these indices is explained by the TLF.
Some features that seem to be specific for international indices are discovered and briefly discussed. In particular, a potential investor seems to be faced with new investment opportunities in emerging markets during and especially after a crisis.
Keywords: EAFE Index, International stock market indices, Detrended fluctuation analysis, R/S Analysis
JEL Classification: C2
Suggested Citation: Suggested Citation