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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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
On a possible fractal relationship between the Hurst exponent and the nonextensive Gutenberg-Richter index [PDF]
, 2017 D. B. de Freitas +4 more
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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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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
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Applying Hurst Exponent in pair trading strategies on Nasdaq 100 index
Physica A: Statistical Mechanics and its Applications, 2021 Quynh Bui, R. Ślepaczuk
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Fractional Brownian Motion with Negative Hurst Exponent
11 pages, 6 ...
Meerson, Baruch, Sasorov, Pavel V.
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Chronological Hurst exponent elucidates latent persistency within patents and trademarks applications reflecting strength of innovation initiatives between 1977 and 2016 [PDF]
, 2021 Iraj Daizadeh
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Epilepsy Detection Using DWT Based Hurst Exponent and SVM, K-NN Classifiers [PDF]
, 2018 A. Sharmila +2 more
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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
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