Time and scale Hurst exponent analysis for financial markets

We use a new method of studying the Hurst exponent with time and scale dependency. This new approach allows us to recover the major events affecting worldwide markets (such as the September 11th terrorist attack) and analyze the way those effects propagate through the different scales. The time-scale dependence of the referred measures demonstrates the relevance of entropy measures in distinguishing the several characteristics of market indices: effects include early awareness, patterns of evolution as well as comparative behaviour distinctions in emergent/established markets. (C) 2008 Elsevier B.V. All rights reserved.