Physics – Condensed Matter – Statistical Mechanics
Scientific paper
2003-02-17
Physica A, Volume 329, Issues 1-2, 1 November 2003, Pages 231-248
Physics
Condensed Matter
Statistical Mechanics
19 pages with 11 figures, submitted to Physica A
Scientific paper
10.1016/S0378-4371(03)00607-1
We report an empirical study of the Ibovespa index of the Sao Paulo Stock Exchange in which we detect the existence of long-range correlations. To analyze our data we introduce a rescaled variant of the usual Detrended Fluctuation Analysis that allows us to obtain the Hurst exponent through a one-parameter fitting. We also compute a time-dependent Hurst exponent H(t) using three-year moving time windows. In particular, we find that before the launch of the Collor Plan in 1990 the curve H(t) remains, in general, well above 1/2, while afterwards it stays close to 1/2. We thus argue that the structural reforms set off by the Collor Plan has lead to a more efficient stock market in Brazil. We also suggest that the time dependence of the Ibovespa Hurst exponent could be described in terms of a multifractional Brownian motion.
Costa Robert L.
Vasconcelos Giovani L.
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