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A Simple and Effective Algorithm to Calculate the Hurst Exponent
Luis Fernando Llano-Ferro
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Memory-Driven Dynamics: A Fractional Fisher Information Approach to Economic Interdependencies. [PDF]
Entropy (Basel)Batrancea LM +4 more
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Nonstandard power grid frequency statistics across continents. [PDF]
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A unified probability distribution of second order difference of global streamflow. [PDF]
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Forecasting VIX with Hurst Exponent
2022The 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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HURST EXPONENTS IN FUTURES EXCHANGE MARKETS
International Journal of Modern Physics C, 2006The 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 +3 more
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Bayesian Approach to Hurst Exponent Estimation
Methodology and Computing in Applied Probability, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Dlask, Martin +2 more
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