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Fractional Brownian motion with random Hurst exponent
2022Fractional Brownian motion, a Gaussian non-Markovian self-similar process with stationary long-correlated increments, has been identified to give rise to the anomalous diffusion behavior in a great variety of physical systems. The correlation and diffusion properties of this random motion are fully characterized by its index of self-similarity or the ...
Balcerek, Michal +4 more
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Hurst exponent estimation using neural network
International Journal of Computational Science and Engineering, 2022Somenath Mukherjee +3 more
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The Hurst’s exponent in technical analysis signals
2006The fractal nature of financial data has been investigated through literature. The aim of this paper is to use the information given by the detection of the fractal measure of data in order to provide support for trading decisions when dealing with technical analysis signals that can be used to trigger buy/sell orders.
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Climate change, the Hurst phenomenon, and hydrological statistics
Hydrological Sciences Journal, 2003Demetris Koutsoyiannis
exaly
On Hurst exponent estimation under heavy-tailed distributions
Physica A: Statistical Mechanics and Its Applications, 2010Jozef Barunik, Ladislav Kristoufek
exaly