Results 131 to 140 of about 5,580 (241)

Long-Range Dependent Traffic Classification with Convolutional Neural Networks Based on Hurst Exponent Analysis. [PDF]

Entropy (Basel), 2020
Filus K, Domański A, Domańska J, Marek D, Szyguła J.   +4 more
europepmc   +1 more source

Financial Applications of Human Perception of Fractal Time Series

, 2015
The purpose of this thesis is to explore the interaction between people’s financial behaviour and the market’s fractal characteristics. In particular, I have been interested in the Hurst exponent, a measure of a series’ fractal dimension and ...
Sobolev, D
core  

Regional Hurst Exponent Reflects Impulsivity-Related Alterations in Fronto-Hippocampal Pathways Within the Waiting Impulsivity Network. [PDF]

Front Physiol, 2020
Neufang S, Akhrif A.
europepmc   +1 more source

Hurst Exponent and Randomness in Time Series

, 2011
Cílem této práce je ověřit, zda odhad Hurstova exponentu prostřednictvím R/S analýzy dokáže rozpoznat některé procesy obsahující deterministickou složku jako nenáhodné a vyhodnotit časové řady výnosů tří vybraných akciových titulů obchodovaných na BCPP ...
Zeman, Martin
core  

HURST: RATS procedure to compute a Hurst exponent

Computes a Hurst exponent.Long memory, Hurst ...
Tom Doan
core  

Hurst exponents of realized volatility (squares) are significant higher than the hurst exponent of absolute return volatility (triangles).

, 2014
Additionally the Hurst exponent of realized volatility increases with the decreasing of sampling interval .
Zeyu Zheng (602919), Zhi Qiao (602920), Tetsuya Takaishi (602921), Baowen Li (113387), H. Eugene Stanley (602922)   +4 more
core   +1 more source

A Noise Resilient Approach for Robust Hurst Exponent Estimation

CoRR
Understanding signal behavior across scales is vital in areas such as natural phenomena analysis and financial modeling. A key property is self-similarity, quantified by the Hurst exponent (H), which reveals long-term dependencies. Wavelet-based methods are effective for estimating H due to their multi-scale analysis capability, but additive noise in ...
Malith Premarathna, Fabrizio Ruggeri 0001, Dixon Vimalajeewa   +2 more
openaire   +2 more sources

Self‐Affine Scaling of Earth's Islands

Geophysical Research Letters
Earth's relief is approximately self‐affine, meaning a zoom‐in on a small region looks statistically similar to a large region upon rescaling. Fractional Brownian surfaces give an idealized self‐affine model of Earth's relief with one parameter, the ...
Matthew Oline, Jeremy Hoskins, David Seekell, Mary Silber, B. B. Cael   +4 more
doaj   +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

Hurst exponent analysis in Turkish stock market

This study is about the application of Hurst exponent in an emerging financial market, the Istanbul stock exchange (ISE). The aim of this study was to find out whether ISE daily return series has long-term dependency and multifractality by using Hurst ...
Necmi Gursakal, Sevda Gursakal, Zehra Berna Aydin, Selim Tuzunturk   +3 more
core