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A fractal analysis of US industrial sector stocks

Author

Listed:
  • Taro Ikeda

    (Graduate School of Economics, Kobe University)

Abstract

This paper found that most of US industrial sectors are fractal, and therefore have a long autocorrelated dependence.

Suggested Citation

  • Taro Ikeda, 2016. "A fractal analysis of US industrial sector stocks," Discussion Papers 1643, Graduate School of Economics, Kobe University.
    • Handle: RePEc:koe:wpaper:1643
    as

    Download full text from publisher

    File URL: http://www.econ.kobe-u.ac.jp/RePEc/koe/wpaper/2016/1643.pdf
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    References listed on IDEAS

    as
    1. Taro Ikeda, 2016. "Relume: A fractal analysis for the US stock market," Discussion Papers 1637, Graduate School of Economics, Kobe University.
    2. repec:kob:wpaper:1637 is not listed on IDEAS
    3. Booth, G. Geoffrey & Kaen, Fred R. & Koveos, Peter E., 1982. "R/S analysis of foreign exchange rates under two international monetary regimes," Journal of Monetary Economics, Elsevier, vol. 10(3), pages 407-415.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Fractal geometry; Hurst exponent; random walk;
    All these keywords.

    JEL classification:

    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • E39 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Other
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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