Results 181 to 190 of about 19,552 (217)

Wavelet packet computation of the Hurst exponent

Journal of Physics A: Mathematical and General, 1996
Summary: Wavelet packet analysis was used to measure the global scaling behaviour of homogeneous fractal signals from the slope of decay for discrete wavelet coefficients belonging to the adapted wavelet best basis. A new scaling function for the size distribution correlation between wavelet coefficient energy magnitude and position in a sorted vector ...
Jones, C. L., Lonergan, G. T., Mainwaring, D. E.   +2 more
openaire   +2 more sources

Method to Improve Hurst Exponent Estimation

SSRN Electronic Journal, 2013
This is a paper on the application of the methods to estimate the Hurst Exponent of Hang Seng Index, Hang Seng China Enterprise Index and Shanghai Composite Index. The methods employed are the Rescaled Range Analysis (Hurst, 1951) and the Geometric Method-based Analysis (Trinidad Segovia, Fernandez-Martinez, Sanchez-Granero, 2012).The question aroused ...
openaire   +1 more source

The Hurst exponent in energy futures prices

Physica A: Statistical Mechanics and its Applications, 2007
Abstract This paper extends the work in Elder and Serletis [Long memory in energy futures prices, Rev. Financial Econ., forthcoming, 2007] and Serletis et al. [Detrended fluctuation analysis of the US stock market, Int. J. Bifurcation Chaos, forthcoming, 2007] by re-examining the empirical evidence for random walk type behavior in energy futures ...
Apostolos Serletis, Aryeh Adam Rosenberg
openaire   +1 more source

The Hurst exponent and long-time correlation

Physics of Plasmas, 2000
The rescaled range statistics (R/S) method is applied to the ion saturation current fluctuations measured by the Langmuir probe at the edge of Tore Supra [Equipe Tore Supra, in Proceedings of the 13th International Conference on Plasma Physics and Controlled Nuclear Fusion, Washington, 1990 (International Atomic Energy Agency, Vienna, 1991), Vol. 1, p.
Guiding Wang, G. Antar, P. Devynck
openaire   +1 more source

Hurst exponent estimation from short time series

Signal, Image and Video Processing, 2018
Fractal investigation of time series is very complex for several reasons. Due to the existence of fully continuous model, on which the majority of conventional methods are based, the quality of Hurst exponent estimate is often influenced by the number of input data and its sampling rate.
Martin Dlask, Jaromir Kukal
openaire   +1 more source

Hurst exponent analysis of financial time series

Journal of Shanghai University (English Edition), 2001
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Sang, Hongwei, Ma, Tian, Wang, Shuozhong
openaire   +1 more source

Hurst exponent analysis in Turkish stock market

International Journal of Sustainable Economy, 2009
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 exponent analysis.
Tüzüntürk, Selim, Gürsakal, Sevda, Aydın, Zehra Berna, Gürsakal, Necmi   +3 more
openaire   +2 more sources

The sampling properties of Hurst exponent estimates

Physica A: Statistical Mechanics and its Applications, 2007
Abstract The classical rescaled adjusted range ( R / S ) statistic is a popular and robust tool for identifying fractal structures and long-term dependence in time-series data. Subsequent to Mandelbrot and Wallis [Water Resour. Res. 4 (1968) 909] who proposed the statistic be measured over several subseries contained within the whole series length ...
openaire   +1 more source

Measurement of Hurst Exponents for Semiconductor Laser Phase Dynamics

Physical Review Letters, 2005
The phase dynamics of a semiconductor laser with optical feedback is studied by construction of the Hilbert phase from its experimentally measured intensity time series. The Hurst exponent is evaluated for the phase fluctuations and grows from 0.5 to approximately 0.7 (indicating fractional Brownian motion) as the feedback strength is increased.
Wing-Shun, Lam, Will, Ray, Parvez N, Guzdar, Rajarshi, Roy   +3 more
openaire   +2 more sources

Hurst exponent and intrapartum fetal heart rate: Impact of decelerations

Proceedings of the 26th IEEE International Symposium on Computer-Based Medical Systems, 2013
Intrapartum fetal heart rate monitoring constitutes an important stake aiming at early acidosis detection. Measuring heart rate variability is often considered a powerful tool to assess the intrapartum health status of fetus and has been envisaged using various techniques.
Abry, Patrice, Roux, Stéphane, Chudáček, Vaclav, Borgnat, Pierre, Gonçalves, Paulo, Doret, Muriel   +5 more
openaire   +1 more source