We consider the role of finite size effects on the value of the effective Hurst exponent H. This problem is motivated by the properties of the high-frequency daily stock-prices. For a finite size random walk we derive some exact results based on Spitzer's identity. The conclusion is that finite size effects strongly enhance the value of H and the convergency to the asymptotic value (H = (1)/(2)) is rather slow. This result has a series of conceptual and practical implication which we discuss. (c) 2006 Elsevier B.V. All rights reserved.
Exact results for the roughness of a finite size random walk / Alfi, Valentina; F., Coccetti; M., Marotta; A., Petri; Pietronero, Luciano. - In: PHYSICA. A. - ISSN 0378-4371. - STAMPA. - 370:1(2006), pp. 127-131. (Intervento presentato al convegno International Econophysics Colloquium tenutosi a Canberra, AUSTRALIA nel NOV 14-18, 2005) [10.1016/j.physa.2006.04.020].
Exact results for the roughness of a finite size random walk
ALFI, Valentina;PIETRONERO, Luciano
2006
Abstract
We consider the role of finite size effects on the value of the effective Hurst exponent H. This problem is motivated by the properties of the high-frequency daily stock-prices. For a finite size random walk we derive some exact results based on Spitzer's identity. The conclusion is that finite size effects strongly enhance the value of H and the convergency to the asymptotic value (H = (1)/(2)) is rather slow. This result has a series of conceptual and practical implication which we discuss. (c) 2006 Elsevier B.V. All rights reserved.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
