Results 231 to 240 of about 20,055 (271)

Estimation of Hurst exponent revisited

Computational Statistics & Data Analysis, 2007
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Mielniczuk, J., Wojdyłło, P.
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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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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 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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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
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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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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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