Predictability and herding of bourse volatility: an econophysics analogue

Predictability and herding of bourse volatility: an econophysics analogue

Financial Reynolds number works as a proxy for volatility in stock markets. This piece of work helps to identify the predictability and herd behavior embedded in the financial Reynolds number (time series) series for both CNX Nifty Regular and CNX Nifty High Frequency Trading domains. Hurst exponent...

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Bibliographic Details
Main Authors: Bikramaditya Ghosh, Krishna M.C., Shrikanth Rao, Emira Kozarević, Rahul Kumar Pandey
Format: Article
Language:English
Published: LLC "CPC "Business Perspectives" 2018-06-01
Series:Investment Management & Financial Innovations
Subjects:
econophysics
herding
High Frequency Trading
Hurst exponent
Online Access:https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/10554/IMFI_2018_02_Ghosh.pdf

Internet

https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/10554/IMFI_2018_02_Ghosh.pdf

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