Results 201 to 210 of about 5,580 (241)

Estimation of Hurst exponent revisited

Computational Statistics & Data Analysis, 2007
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Jan Mielniczuk, Piotr Wojdyllo
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HURST EXPONENTS IN FUTURES EXCHANGE MARKETS

International Journal of Modern Physics C, 2006
The dynamical behavior of the Korean treasury bond (KTB) futures is investigated using a modified rescaled range (R/S) analysis. Lo's modified R/S analysis as well as classical Hurst's R/S statistics are utilized in order to analyze tick data of KTB futures. The Hurst exponent can be estimated by both classical and modified R/S statistics.
Kim, K, Kim, SY Kim, Soo Yong, Lee, M, Yum, MK   +3 more
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Bayesian Approach to Hurst Exponent Estimation

Methodology and Computing in Applied Probability, 2017
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Dlask, Martin, Kukal, Jaromir, Vysata, Oldrich   +2 more
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The Hurst Exponent of Precipitation

SSRN Electronic Journal, 2015
Rescaled range analysis of precipitation in the sample period 1893-2014 for ten USHCN stations in five states of the USA does not provide evidence of dependence, long term memory, or persistence in the time series. All of the observed Hurst exponents of precipitation are indicative of Gaussian randomness.
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Factors of Hurst Exponent

SSRN Electronic Journal, 2013
Under the Fractal Theory research, a stock with high Hurst Exponent shall have high autocorrelation for the share price and we should use trend following investment method to profit from the stock trend. On the other hand, if a stock is with low Hurst Exponent, this means that the stock price shall have low autocorrelation and we should use the range ...
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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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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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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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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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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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