%0 Journal Article
%T Short-term Dependence in Time Series as an Index of Complexity: Example from the S&P-500 Index
%A C-Ren¨¦ Dominique
%A Luis Eduardo Rivera Solis
%J International Business Research
%D 2012
%I 
%R 10.5539/ibr.v5n9p38
%X The capital market is a reflexive dynamical input/output construct whose output (time series) is usually assessed by an index of roughness known as Hurst¡¯s exponent (H). Oddly enough, H has no theoretical foundation, but recently it has been found experimentally to vary from persistence (H > 1/2) or long-term dependence to anti-persistence (H < 1/2) or short-term dependence. This paper uses the thrown-offs of quadratic maps (modeled asymptotically) and singularity spectra of fractal sets to characterize H, the alternateness of dependence, and market crashes while proposing a simpler method of computing the correlation dimension than the Grassberger-Procaccia procedure.
%U http://www.ccsenet.org/journal/index.php/ibr/article/view/19617