Bayesian estimation of the self-similarity exponent of the Nile River fluctuation [PDF]
Nonlinear Processes in Geophysics, 2011 The aim of this paper is to estimate the Hurst parameter of Fractional Gaussian Noise (FGN) using Bayesian inference. We propose an estimation technique that takes into account the full correlation structure of this process.
S. Benmehdi +3 more
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Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency
Mathematics, 2021 In this paper, we use a statistical arbitrage method in different developed and emerging countries to show that the profitability of the strategy is based on the degree of market efficiency.
Karen Balladares +3 more
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The identification of the long-term dependence in the sale of commodities [PDF]
Modern Management ReviewThe paper presents the algorithm and interpretation of Hurst exponent. It has been used during the analysis of sales in selected enterprise. The Hurst exponent was calculated empirically and theoretically, then the data was compared to verify if the ...
Krystyna Skoczylas
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Portfolio Optimization at Damascus Securities Exchange: A Fractal Analysis Approach
Cogent Economics & Finance, 2023 This paper adopts the fractal analysis approach, specifically a Hurst exponent index in portfolio optimization at the Damascus Securities Exchange (DSE).
Kinda Dooba, Sulaiman Mouselli
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Review Article: On the relation between the seismic activity and the Hurst exponent of the geomagnetic field at the time of the 2000 Izu swarm [PDF]
Natural Hazards and Earth System Sciences, 2013 Many papers document the observation of earthquake-related precursory signatures in geomagnetic field data. However, the significance of these findings is ambiguous because the authors did not adequately take into account that these signals could have ...
F. Masci, J. N. Thomas
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Надежность и качество сложных систем, 2023 Background. Currently, the Hurst exponent is quite easily interpreted in relation to biometric, medical and economic data, but it is customary to evaluate it on large samples.
Aleksandr I. Ivanov +2 more
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Applied Sciences, 2023 Two-dimensional fractional Brownian motion (2D FBM) is an effective model for describing natural scenes and medical images. Essentially, it is characterized by the Hurst exponent (H) or its corresponding fractal dimension (D).
Yen-Ching Chang, Jin-Tsong Jeng
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Use of fractal analysis to evaluate the surface quality of agricultural machinery parts
BIO Web of Conferences, 2020 The research of the determination of the fractal characteristics of the surface of a material proposes the use of a stationary profilograph and a computer program for calculating the Hurst exponent.
Bavykin Oleg +4 more
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Searching for long memory effects in time series of central Europe stock market indices
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2008 This article deals with one of the important parts of applying chaos theory to financial and capital markets – namely searching for long memory effects in time series of financial instruments.
Luboš Střelec
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Complexity signatures in the geomagnetic H component recorded by the Tromsø magnetometer (70° N, 19° E) over the last quarter of a century [PDF]
Nonlinear Processes in Geophysics, 2014 Solar disturbances, depending on the orientation of the interplanetary magnetic field, typically result in perturbations of the geomagnetic field as observed by magnetometers on the ground.
C. M. Hall
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