Results 171 to 180 of about 19,704 (219)

A novel portfolio construction strategy based on the core- periphery profile of stocks. [PDF]

Sci Rep
Ansari I, Sharma C, Agrawal A, Sahni N.
europepmc   +1 more source

Seizure Type Classification Based on Hybrid Feature Engineering and Mutual Information Analysis Using Electroencephalogram. [PDF]

Entropy (Basel)
Miao Y.
europepmc   +1 more source

Stock price dynamics prediction based on multi-scale fractals and deep learning. [PDF]

PLoS One
Du Y, Tian Y.
europepmc   +1 more source

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Estimation of Hurst exponent revisited

Computational Statistics & Data Analysis, 2007
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mielniczuk, J., Wojdyłło, P.
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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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Forecasting VIX with Hurst Exponent

2022
The VIX is a proxy for the implied volatility, computed con- sidering Standard & Poor’s 500 Index data. It widely regarded as a mea- sure of turbulence in U.S. and global financial markets. Hence, forecasting the VIX is essential for both portfolio managers and policy makers.
Bianchi Sergio, Mattera Raffaele, Di Sciorio Fabrizio   +2 more
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HURST EXPONENTS IN FUTURES EXCHANGE MARKETS

International Journal of Modern Physics C, 2006
The dynamical behavior of the Korean treasury bond (KTB) futures is investigated using a modified rescaled range (R/S) analysis. Lo's modified R/S analysis as well as classical Hurst's R/S statistics are utilized in order to analyze tick data of KTB futures. The Hurst exponent can be estimated by both classical and modified R/S statistics.
Kim, K, Kim, SY Kim, Soo Yong, Lee, M, Yum, MK   +3 more
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Bayesian Approach to Hurst Exponent Estimation

Methodology and Computing in Applied Probability, 2017
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Dlask, Martin, Kukal, Jaromir, Vysata, Oldrich   +2 more
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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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