The Hurst Exponent as an Indicator to Anticipate Agricultural Commodity Prices. [PDF]
Entropy (Basel), 2023 Anticipating and understanding fluctuations in the agri-food market is very important in order to implement policies that can assure fair prices and food availability. In this paper, we contribute to the understanding of this market by exploring its efficiency and whether the local Hurst exponent can help to anticipate its trend or not.
Pérez-Sienes L +3 more
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On Hurst exponent estimation under heavy-tailed distributions [PDF]
, 2012 In this paper, we show how the sampling properties of the Hurst exponent methods of estimation change with the presence of heavy tails. We run extensive Monte Carlo simulations to find out how rescaled range analysis (R/S), multifractal detrended ...
Alessio +35 more
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Improvement in Hurst exponent estimation and its application to financial markets [PDF]
Financial Innovation, 2022 This research aims to improve the efficiency in estimating the Hurst exponent in financial time series. A new procedure is developed based on equality in distribution and is applicable to the estimation methods of the Hurst exponent.
A. Gómez-Águila +2 more
doaj +2 more sources
The effect of the underlying distribution in Hurst exponent estimation. [PDF]
PLoS One, 2015 In this paper, a heavy-tailed distribution approach is considered in order to explore the behavior of actual financial time series. We show that this kind of distribution allows to properly fit the empirical distribution of the stocks from S&P500 index.
Sánchez MÁ +3 more
europepmc +5 more sources
Bayesian estimation of the self-similarity exponent of the Nile River fluctuation [PDF]
Nonlinear Processes in Geophysics, 2011 The aim of this paper is to estimate the Hurst parameter of Fractional Gaussian Noise (FGN) using Bayesian inference. We propose an estimation technique that takes into account the full correlation structure of this process.
S. Benmehdi +3 more
doaj +4 more sources
Potential sliding zone recognition method for the slow-moving landslide based on the Hurst exponent
Journal of Rock Mechanics and Geotechnical Engineering, 2023 The abrupt occurrence of the Zhongbao landslide is totally unexpected, resulting in the destruction of local infrastructure and river blockage. To review the deformation history of the Zhongbao landslide and prevent the threat of secondary disasters, the
Haiqing Yang +5 more
doaj +2 more sources
The Hurst Exponent of Fermi GRBs
, 2013 Using a wavelet decomposition technique, we have extracted the Hurst exponent for a sample of 46 long and 22 short Gamma-ray bursts (GRBs) detected by the Gamma-ray Burst Monitor (GBM) aboard the Fermi satellite. This exponent is a scaling parameter that
A. Eskandarian +39 more
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Range Entropy: A Bridge between Signal Complexity and Self-Similarity [PDF]
Entropy, 2018 Approximate entropy (ApEn) and sample entropy (SampEn) are widely used for temporal complexity analysis of real-world phenomena. However, their relationship with the Hurst exponent as a measure of self-similarity is not widely studied. Additionally, ApEn
Amir Omidvarnia +3 more
doaj +4 more sources
Detection of hemodynamic changes in a porcine lipopolysaccharide model of systemic inflammation using dynamic light scattering measurements of the microcirculation [PDF]
Frontiers in MedicineBackgroundThe microcirculation is affected during sepsis, yet there is currently no clinically available technology for sepsis detection in the microcirculation.
Louwrina H. te Nijenhuis +9 more
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On the Hurst exponents, Markov processes, and fractional Brownian motion
, 2021 There is much confusion in the literature over Hurst exponent (H). The purpose of this paper is to illustrate the difference between fractional Brownian motion (fBm) on the one hand and Gaussian Markov processes where H is different to 1/2 on the other.
Ginno Millán
openalex +4 more sources