Results 201 to 210 of about 132,311 (233)

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
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Hurst Exponent as a Risk Measurement on the Capital Market

2017
There are many methods, which can be used to analyze risk on the capital market. This paper describes several approaches to risk analysis and then attempts to create a risk prediction model. In the conclusion one can see that it’s possible to minimize the investment risk by using Hurst exponent.
Anna Czarnecka, Zofia Wilimowska
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A State Space Approach and Hurst Exponent for Ensemble Predictors

2013
In this article we propose a concept of ensemble methods based on deconvolution with state space and MLP neural network approach. Having a few prediction models we treat their results as a multivariate variable with latent components having destructive or constructive impact on prediction.
Ryszard Szupiluk, Tomasz S. Zabkowski
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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
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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
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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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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 ...
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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 ...
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HURST EXPONENTS FOR NON-PRECISE DATA

2013
We provide a framework for the study of statistical quantities related to the Hurst phenomenon when the data are non-precise with bounded support.
Alvo, Mayer, Theberge, Francois
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Hurst exponent: A method for characterizing dynamical traps

Physical Review E
Dynamical trapping occurs when the duration of time spent in specific regions of phase space increases, often associated with stickiness around invariant islands during manifold crossings. This paper introduces the Hurst exponent as a tool to characterize the dynamics of a typical quasiintegrable Hamiltonian system with coexisting regular and chaotic ...
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