Noah Effect

Definition:

The tendency of persistent time series (0.50<H<1.00) to have abrupt, and discontinuous changes. The normal distribution assumes continuous changes in a system. However, a time series which exhibits Hurst statistics may abruptly change levels, skipping values either up or down. Mandelbrot coined the term "Noah effect" after the biblical story of the deluge. See: Joseph Effect, Hurst Exponent, Persistence, Anti-persistence.

Investing Essentials


Copyright © 2011 Campbell R. Harvey, Professor of Finance, Fuqua School of Business at Duke University

Term of the Day

Historical Cost Accounting Convention

An accounting technique that values an asset for balance sheet purposes at the price paid for the asset at the time of its acquisition.

Subscribe to the Term of the Day via email Get the Term of the Day in your inbox!


Create your free portfolio