Dominique, CRene and RiveraSolis, Luis Eduardo (2012): Could Investors’ Expectations Explain Temporal Variations in Hurst’s Exponent, Loci of Multifractal Spectra, and Statistical Prediction Errors? The Case of the S&P 500 Index. Published in: International Business Research , Vol. Volume, No. No. 5 (1 May 2012): pp. 815.

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Abstract
Over the periods 19982002 and 20092011, the S&P500 Index went from persistence to antipersistence mode, as measured by the Hurst index H. To uncover the reasons that characterize such a change, this paper uses a simple method that consists in treating quasi selfsimilar segments of the Index as initiators, and then finding appropriate generators with two intervals each to asymptotically model the strange attractor. The multifractal formalism shows that the change in persistence implies a corresponding change in the multifractal spectrum, and an enlargement of the invariant equilibrium set, making a market crash more likely, most probably due to a collapse of investors’ expectations. This also means that all statistical predictions made in one mode would have been off by an amount proportional to change in any element of the generalized set of dimensions in the other.
Item Type:  MPRA Paper 

Original Title:  Could Investors’ Expectations Explain Temporal Variations in Hurst’s Exponent, Loci of Multifractal Spectra, and Statistical Prediction Errors? The Case of the S&P 500 Index 
Language:  English 
Keywords:  Persistence, Strange Equilibrium sets, Scaling Exponents, Multifractal Spectra, Generalized Dimensions of order q, Statisticalpredictionerror 
Subjects:  G  Financial Economics > G1  General Financial Markets > G14  Information and Market Efficiency ; Event Studies ; Insider Trading D  Microeconomics > D8  Information, Knowledge, and Uncertainty > D84  Expectations ; Speculations C  Mathematical and Quantitative Methods > C0  General G  Financial Economics > G0  General > G00  General A  General Economics and Teaching > A1  General Economics > A10  General G  Financial Economics > G0  General > G01  Financial Crises 
Item ID:  41407 
Depositing User:  Dr. Luis Rivera 
Date Deposited:  19 Sep 2012 11:34 
Last Modified:  26 Sep 2019 22:14 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/41407 