Table 7 Percentage of stocks in the SP &500 index that satisfy the self-similarity property at the given confidence level
From: Improvement in Hurst exponent estimation and its application to financial markets
Days | N price series | Confidence level (%) | Self-similar (%) |
|---|---|---|---|
128 | 503 | 97.03 | 99.01 |
256 | 503 | 96.05 | 97.61 |
512 | 501 | 95.10 | 96.21 |
1024 | 496 | 94.15 | 95.36 |
2048 | 473 | 93.21 | 89.64 |
4096 | 412 | 92.27 | 82.77 |