Exact Results for the Roughness of a Finite Size Random Walk
نویسندگان
چکیده
We consider the role of finite size effects on the value of the effective Hurst exponent H . This problem is motivated by the properties of the high frequency daily stock-prices. For a finite size random walk we derive some exact results based on Spitzer’s identity. The conclusion is that finite size effects strongly enhance the value of H and the convergency to the asymptotic value (H = 1/2) is rather slow. This result has a series of conceptual and practical implication which we discuss.
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