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.
Pérez-Sienes L +3 more
europepmc +4 more sources
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 +3 more sources
Typical Algorithms for Estimating Hurst Exponent of Time Sequence: A Data Analyst’s Perspective [PDF]
IEEE Access, 2023 The Hurst exponent is a significant metric for characterizing time sequences with long-term memory property and it arises in many fields such as physics, engineering, mathematics, statistics, economics, psychology, and so on.
Hong-Yan Zhang +3 more
doaj +2 more sources
Fractional Brownian motion with random Hurst exponent: accelerating diffusion and persistence transitions [PDF]
Chaos, 2022 Fractional Brownian motion, a Gaussian non-Markovian self-similar process with stationary long-correlated increments, has been identified to give rise to the anomalous diffusion behavior in a great variety of physical systems.
Michał Balcerek +4 more
openalex +3 more sources
Covid-19 impact on cryptocurrencies: evidence from a wavelet-based Hurst exponent [PDF]
Social Science Research Network, 2020 Cryptocurrency history begins in 2008 as a means of payment proposal. However, cryptocurrencies evolved into complex, high yield speculative assets. Contrary to traditional financial instruments, they are not (mostly) traded in organized, law-abiding ...
María Belén Arouxét +3 more
semanticscholar +4 more sources
Statistical Analysis of Nanofiber Mat AFM Images by Gray-Scale-Resolved Hurst Exponent Distributions
Applied Sciences, 2021 Two-dimensional structures, either periodic or random, can be classified by diverse mathematical methods. Quantitative descriptions of such surfaces, however, are scarce since bijective definitions must be found to measure unique dependency between ...
Tomasz Blachowicz +5 more
doaj +2 more sources
Preliminaries on the Accurate Estimation of the Hurst Exponent Using Time Series [PDF]
IEEE International Conference on Automatica, 2021 This article explores the required amount of time series points from a high-speed computer network to accurately estimate the Hurst exponent. The methodology consists in designing an experiment using estimators that are applied to time series addresses ...
Ginno Millán +2 more
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Hurst Exponent Analysis of Resting-State fMRI Signal Complexity across the Adult Lifespan. [PDF]
Front Neurosci, 2018 Exploring functional information among various brain regions across time enables understanding of healthy aging process and holds great promise for age-related brain disease diagnosis.
Dong J, Jing B, Ma X, Liu H, Mo X, Li H.
europepmc +2 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
Comparison of Hurst exponent estimation methods
Journal of Economics and Administrative Sciences, 2021 Through recent years many researchers have developed methods to estimate the self-similarity and long memory parameter that is best known as the Hurst parameter. In this paper, we set a comparison between nine different methods.
A. H. Hamza, M. Hmood
semanticscholar +3 more sources