Results 11 to 20 of about 5,559 (235)
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 +2 more
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On the utility of the hurst exponent in predicting future crises
Corporate Ownership and Control, 2012 The aim of this article is to ascertain whether and to what extent the Hurst exponent can be used to forecast future crises. The first and second sections focus on the Hurst exponent, giving theoretical insights and a summary of its uses in finance. The analysis of a dataset of 35 indices and stocks representing various geographical areas and economic ...
Coen T., Piovani G, TORLUCCIO, GIUSEPPE
core +4 more sources
Anticipating volcanic eruptions using rescaled range analysis of volcano-tectonic seismicity [PDF]
Scientific ReportsThe possibility of forecasting volcanic eruptions remains a major challenge for the volcanological scientific community. To date, various techniques based on volcano-tectonic seismicity, endogenous gas emission and satellite imagery have been widely ...
Raúl Pérez-López +7 more
doaj +2 more sources
Pairs trading using Hurst exponent
, 2020 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.
Abhay Kulkarni (13190868)
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The effect of the underlying distribution in Hurst exponent estimation. [PDF]
PLoS One, 2015 In this paper, a heavy-tailed distribution approach is considered in order to explore the behavior of actual financial time series. We show that this kind of distribution allows to properly fit the empirical distribution of the stocks from S&P500 index.
Sánchez MÁ +3 more
europepmc +5 more sources
Temporal Lobe Epilepsy Perturbs the Brain‐Wide Excitation‐Inhibition Balance: Associations with Microcircuit Organization, Clinical Parameters, and Cognitive Dysfunction [PDF]
Advanced ScienceExcitation‐inhibition (E/I) imbalance is theorized as a key mechanism in the pathophysiology of epilepsy, with ample research focusing on elucidating its cellular manifestations.
Ke Xie +17 more
doaj +2 more sources
Clustering Arid Rangelands Based on NDVI Annual Patterns and Their Persistence
Remote Sensing, 2022 Rangeland ecosystems comprise more than a third of the global land surface, sustaining essential ecosystem services and livelihoods. In Spain, Southeast Spain includes some of the driest regions; accordingly, rangelands from Murcia and Almeria provinces ...
Ernesto Sanz +6 more
doaj +1 more source
R/S method application in neurological speech disorders analyses [PDF]
Компьютерные исследования и моделирование, 2014 Based on modified rescaled range scale computation algorithm, the technique of Hurst exponent and its characteristic time estimation is proposed. The approach of increase the accuracy and simplification automatic Hurst exponent calculation is developed ...
Nikolay Petrovich Kuzenkov +1 more
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Scaling Exponents of Time Series Data: A Machine Learning Approach
Entropy, 2023 In this study, we present a novel approach to estimating the Hurst exponent of time series data using a variety of machine learning algorithms. The Hurst exponent is a crucial parameter in characterizing long-range dependence in time series, and ...
Sebastian Raubitzek +3 more
doaj +1 more source
Hurst exponents for short time series [PDF]
Physical Review E, 2011 6 pages, 4 ...
Jingzhao Qi, Huijie Yang
openaire +3 more sources