Results 231 to 240 of about 235,462 (293)

Fractal Time Series Analysis by Using Entropy and Hurst Exponent

International Conference on Computer Systems and Technologies, 2022
The paper discusses the analysis of simulated and real fractal time series by applying approximate entropy (ApEn) and sample entropy (SampEn) to determine the complexity and predictability of the time series.
Evgeniya Gospodinova
semanticscholar   +1 more source

Hurst-Exponent-Based Detection of High-Impedance DC Arc Events for 48-V Systems in Vehicles

IEEE transactions on power electronics, 2021
Expanding dc electrical distribution systems require improved detection and mitigation of dc arc events. The high heat resulting from dc arcing raises concerns on equipment and personnel safety. In this article, a new adaptive detection method for series
Yousef Abdullah, J. Shaffer, Boxue Hu, Bailey Hall, Jin Wang, A. Emrani, B. Arfaei   +6 more
semanticscholar   +1 more source

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, Mattera Raffaele, Di Sciorio Fabrizio   +2 more
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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
openaire   +2 more sources

Bayesian Approach to Hurst Exponent Estimation

Methodology and Computing in Applied Probability, 2017
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Dlask, Martin, Kukal, Jaromir, Vysata, Oldrich   +2 more
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Estimation of Hurst exponent revisited

Computational Statistics & Data Analysis, 2007
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mielniczuk, J., Wojdyłło, P.
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Distinguishing between fractional Brownian motion with random and constant Hurst exponent using sample autocovariance-based statistics.

Chaos
Fractional Brownian motion (FBM) is a canonical model for describing dynamics in various complex systems. It is characterized by the Hurst exponent, which is responsible for the correlation between FBM increments, its self-similarity property, and ...
Aleksandra Grzesiek, Janusz Gajda, S. Thapa, Agnieszka Wyłomańska   +3 more
semanticscholar   +1 more source

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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Pairs trading using Hurst exponent

2022
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.
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Introducing Hurst exponent in pair trading

Physica A: Statistical Mechanics and its Applications, 2017
Abstract In this paper we introduce a new methodology for pair trading. This new method is based on the calculation of the Hurst exponent of a pair. Our approach is inspired by the classical concepts of co-integration and mean reversion but joined under a unique strategy. We will show how Hurst approach presents better results than classical Distance
J.P. Ramos-Requena, J.E. Trinidad-Segovia, M.A. Sánchez-Granero   +2 more
openaire   +1 more source