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.
Exact results for the roughness of a finite-size random walk
M. Marotta;A. Petri;L. Pietronero
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.File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
prod_57045-doc_18312.pdf
solo utenti autorizzati
Descrizione: Exact Results for the Roughness of a Finite Size Random Walk
Tipologia:
Versione Editoriale (PDF)
Licenza:
NON PUBBLICO - Accesso privato/ristretto
Dimensione
147.71 kB
Formato
Adobe PDF
|
147.71 kB | Adobe PDF | Visualizza/Apri Richiedi una copia |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
