Results 171 to 180 of about 19,552 (217)

Bayesian Approach to Hurst Exponent Estimation

Methodology and Computing in Applied Probability, 2017
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Dlask, Martin, Kukal, Jaromir, Vysata, Oldrich   +2 more
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Estimation of Hurst exponent revisited

Computational Statistics & Data Analysis, 2007
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Mielniczuk, J., Wojdyłło, P.
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Estimating Hurst exponent with wavelet packet

2006 7th International Conference on Computer-Aided Industrial Design and Conceptual Design, 2006
Applied in many areas, from original hydrology to modern computer networking, Hurst exponent provides us with an indicator that the analyzed data is a completely random process or has underlying trends. But a good estimation of Hurst exponent remains complicated as R/S algorithm shows.
Zhiguo Wang, Dechun Guo, Xi Li, Yuanchun Fei   +3 more
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Pairs trading using Hurst exponent

2022
The study documented in this thesis uses the method called ‘detrended fluctuation analysis (DFA)' to examine the relationship between the companies listed on Standard and Poor (S&P)'s Australian Securities Exchange (ASX) 200 using ten years of data from 2010–2019.
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Introducing Hurst exponent in pair trading

Physica A: Statistical Mechanics and its Applications, 2017
Abstract In this paper we introduce a new methodology for pair trading. This new method is based on the calculation of the Hurst exponent of a pair. Our approach is inspired by the classical concepts of co-integration and mean reversion but joined under a unique strategy. We will show how Hurst approach presents better results than classical Distance
J.P. Ramos-Requena, J.E. Trinidad-Segovia, M.A. Sánchez-Granero   +2 more
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Factors of Hurst Exponent

SSRN Electronic Journal, 2013
Under the Fractal Theory research, a stock with high Hurst Exponent shall have high autocorrelation for the share price and we should use trend following investment method to profit from the stock trend. On the other hand, if a stock is with low Hurst Exponent, this means that the stock price shall have low autocorrelation and we should use the range ...
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The Hurst Exponent of Precipitation

SSRN Electronic Journal, 2015
Rescaled range analysis of precipitation in the sample period 1893-2014 for ten USHCN stations in five states of the USA does not provide evidence of dependence, long term memory, or persistence in the time series. All of the observed Hurst exponents of precipitation are indicative of Gaussian randomness.
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Time-dependent Hurst exponent in financial time series

Physica A: Statistical Mechanics and its Applications, 2004
Abstract We calculate the Hurst exponent H ( t ) of several time series by dynamical implementation of a recently proposed scaling technique: the detrending moving average (DMA). In order to assess the accuracy of the technique, we calculate the exponent H ( t ) for artificial series, simulating monofractal Brownian paths, with ...
CARBONE, ANNA FILOMENA, CASTELLI G, STANLEY H. E.   +2 more
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Hurst exponent analysis of moving metallic surfaces

Physica A: Statistical Mechanics and its Applications, 2013
Abstract We report on the application of Hurst exponent analysis to digital speckle patterns for investigating moving rough surfaces in the presence of defects. Digital speckle patterns were generated by recording the scattered light from moving surfaces illuminated by a laser beam.
H.C. Soares, L. da Silva, D.C. Lobão, D.P. Caetano, J.A.O. Huguenin   +4 more
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HURST EXPONENTS FOR NON-PRECISE DATA

2013
We provide a framework for the study of statistical quantities related to the Hurst phenomenon when the data are non-precise with bounded support.
Alvo, Mayer, Theberge, Francois
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