Portuguese stock market: A long-memory process?
Business: Theory and Practice, 2011 This paper gives a basic overview of the various attempts at modelling stochastic processes for stock markets with a specific application to the Portuguese stock market data.
Sameer Rege, Samuel Gil Martín
doaj
Chronological Hurst exponent elucidates latent persistency within patents and trademarks applications reflecting strength of innovation initiatives between 1977 and 2016 [PDF]
, 2021 Iraj Daizadeh
openalex
TESTING THE LONG RANGE-DEPENDENCE FOR THE CENTRAL EASTERN EUROPEAN AND THE BALKANS STOCK MARKETS [PDF]
Annals of the University of Oradea: Economic Science, 2013 In this study we tested the existence of long memory in the the return series for major Central Eastern European and Balkans stock markets, using the following statistical methods: Hurst Exponent, GPH method, Andrews and Guggenberger method, Reisen ...
Pece Andreea Maria +3 more
doaj
Analysing the chinese stock market using the hurst exponent, fractional brownian motion and variants of a stochastic logistic differential equation [PDF]
, 2015 Ognjen Vukovic
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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
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
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Preliminaries on the accurate estimation of the Hurst exponent using time series (Draft 3)
, 2021 Ginno Millán
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Multifractality approach of a generalized Shannon index in financial time series.
PLoS ONEMultifractality 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 +3 more
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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. +1 more
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An Experiment on the Hurst Exponent based on FARIMA [PDF]
Proceedings of the 2017 5th International Conference on Machinery, Materials and Computing Technology (ICMMCT 2017), 2017 Chen Liu +4 more
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