Results 121 to 130 of about 19,552 (217)

Long-term memory and its evolution in returns of PX between 1999 and 2009 [PDF]

Long-term memory processes have been extensively examined in recent literature as they provide simple way to test for predictability in the underlying process.
Kristoufek, Ladislav
core   +1 more source

Multifractality approach of a generalized Shannon index in financial time series.

PLoS ONE
Multifractality is a concept that extends locally the usual ideas of fractality in a system. Nevertheless, the multifractal approaches used lack a multifractal dimension tied to an entropy index like the Shannon index. This paper introduces a generalized
Felipe S Abril-Bermúdez, Juan E Trinidad-Segovia, Miguel A Sánchez-Granero, Carlos J Quimbay-Herrera   +3 more
doaj   +1 more source

Evidence of crossover phenomena in wind speed data

, 2004
In this report, a systematic analysis of hourly wind speed data obtained from three potential wind generation sites (in North Dakota) is analyzed. The power spectra of the data exhibited a power-law decay characteristic of $1/f^{\alpha}$ processes with ...
Kavasseri, Rajesh G., Nagarajan, Radhakrishnan   +1 more
core   +1 more source

Persistence Characteristics of Latin American Financial Markets [PDF]

The financial rates of return from Latin American stock and currency markets are found to be non-normal, non-stationary, non-ergodic and long-term dependent, i.e., they have long memory.
Cornelis A. Los, Nyonyo Kyaw, Sijing Zong   +2 more
core  

An Empirical Study of the Stability of Hurst Exponent Behavior Applied to Russian and American Stock Markets [PDF]

In the paper we study the stability of Hurst exponent behavior for Russian and American financial indicators. A specific technique is developed for analysis of its performance.
Zlotnik, Andrey
core  

A Brainnetome Atlas Based Mild Cognitive Impairment Identification Using Hurst Exponent. [PDF]

Front Aging Neurosci, 2018
Long Z, Jing B, Guo R, Li B, Cui F, Wang T, Chen H.   +6 more
europepmc   +1 more source

The effect of the underlying distribution in Hurst exponent estimation. [PDF]

PLoS One, 2015
Sánchez MÁ, Trinidad JE, García J, Fernández M.   +3 more
europepmc   +1 more source

Hurst Exponent Analysis of Resting-State fMRI Signal Complexity across the Adult Lifespan. [PDF]

Front Neurosci, 2018
Dong J, Jing B, Ma X, Liu H, Mo X, Li H.
europepmc   +1 more source

Identifying current and remitted major depressive disorder with the Hurst exponent: a comparative study on two automated anatomical labeling atlases. [PDF]

Oncotarget, 2017
Jing B, Long Z, Liu H, Yan H, Dong J, Mo X, Li D, Liu C, Li H.   +8 more
europepmc   +1 more source

Random walks, Hurst exponent, and market efficiency

Quality & Quantity
Abstract Market efficiency assumes that prices in financial markets are perfectly informative and, therefore, it is not possible to design trading strategies that outperform the market. The concept of efficiency has important implications for financial stability and, consequently, for financial policies. If asset returns exhibit persistent or
openaire   +2 more sources