Results 111 to 120 of about 19,704 (219)

Evaluation of genome similarities using a wavelet-domain approach

Revista da Sociedade Brasileira de Medicina Tropical
INTRODUCTION: Tuberculosis is listed among the top 10 causes of deaths worldwide. The resistant strains causing this disease have been considered to be responsible for public health emergencies and health security threats.
Leila Maria Ferreira, Thelma Sáfadi, Juliano Lino Ferreira   +2 more
doaj   +1 more source

On the relationship between the Hurst exponent, the ratio of the mean square successive difference to the variance, and the number of turning points

, 2016
The long range dependence of the fractional Brownian motion (fBm), fractional Gaussian noise (fGn), and differentiated fGn (DfGn) is described by the Hurst exponent $H$.
Tarnopolski, Mariusz
core   +1 more source

Modeling Predictability of Traffic Counts at Signalised Intersections Using Hurst Exponent. [PDF]

Entropy (Basel), 2021
Chand S.
europepmc   +1 more source

Efficiently Implementing the Maximum Likelihood Estimator for Hurst Exponent [PDF]

Mathematical Problems in Engineering, 2014
This paper aims to efficiently implement the maximum likelihood estimator (MLE) for Hurst exponent, a vital parameter embedded in the process of fractional Brownian motion (FBM) or fractional Gaussian noise (FGN), via a combination of the Levinson algorithm and Cholesky decomposition.
openaire   +2 more sources

Group-wise herding behavior in financial markets: an agent-based modeling approach.

PLoS ONE, 2014
In this paper, we shed light on the dynamic characteristics of rational group behaviors and the relationship between monetary policy and economic units in the financial market by using an agent-based model (ABM), the Hurst exponent, and the Shannon ...
Minsung Kim, Minki Kim
doaj   +1 more source

Detection of hemodynamic changes in a porcine lipopolysaccharide model of systemic inflammation using dynamic light scattering measurements of the microcirculation

Frontiers in Medicine
BackgroundThe microcirculation is affected during sepsis, yet there is currently no clinically available technology for sepsis detection in the microcirculation.
Louwrina H. te Nijenhuis, Norani H. Gangaram-Panday, Patricia A. C. Specht, Ilya Fine, Nimrod Elstein, Egbert G. Mik, Floor A. Harms, Irwin K. M. Reiss, Willem van Weteringen, Willem van Weteringen   +9 more
doaj   +1 more source

Roughness and Finite Size Effect in the NYSE Stock-Price Fluctuations

, 2006
We consider the roughness properties of NYSE (New York Stock Exchange) stock-price fluctuations. The statistical properties of the data are relatively homogeneous within the same day but the large jumps between different days prevent the extension of the
A. Petri, Alessio, Asikainen, Cajueiro, Carbone, Castellano, Couillard, F. Coccetti, Grech, Hurst, Katsev, L. Pietronero, Matteo, V. Alfi   +13 more
core   +2 more sources

Building a Better Fund of Hedge Funds: A Fractal and Alpha - Stable Distribution Approach [PDF]

Markowitz’s (1952) portfolio theory has permeated financial institutions over the past 50 years. Assuming that returns are normally distributed, Markowitz suggests that portfolio optimization should be performed in a mean-variance framework.
Yan Olszewski
core  

Determining The Value-at-risk In The Shadow Of The Power Law: The Case Of The SP-500 Index [PDF]

In extant financial market models, including the Black-Scholes’ contruct, the dramatic events of October 1987 and August 2007 are totally unexpected, because these models are based on the assumptions of ‘independent price fluctuations’ and the existence ...
Des Rosiers, Francois, Dominique, C-Rene, Rivera-Solis, Luis Eduardo   +2 more
core   +1 more source

Graph-Based Stock Volatility Forecasting with Effective Transfer Entropy and Hurst-Based Regime Adaptation

Fractal and Fractional
This study proposes a novel hybrid model for stock volatility forecasting by integrating directional and temporal dependencies among financial time series and market regime changes into a unified modeling framework.
Sangheon Lee, Poongjin Cho
doaj   +1 more source