Correlation of worldwide markets' entropies: time-scale approach

摘要: We use a new method of studying the Hurst exponent with time and scale dependency. This approach allow us to recover major events affecting worldwide markets (such as September 11th terrorist attack) analyze way those effects propagate through different scales. The time-scale dependence referred measures demonstrates relevance entropy in distinguishing several characteristics market indices: "effects" include early awareness, patterns evolution well comparative behaviour distinctions emergent/established markets.