Results 241 to 250 of about 235,462 (293)

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 ...
openaire   +1 more source

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.
openaire   +1 more source

Time-dependent Hurst exponent in financial time series

Physica A: Statistical Mechanics and its Applications, 2004
Abstract We calculate the Hurst exponent H ( t ) of several time series by dynamical implementation of a recently proposed scaling technique: the detrending moving average (DMA). In order to assess the accuracy of the technique, we calculate the exponent H ( t ) for artificial series, simulating monofractal Brownian paths, with ...
CARBONE, ANNA FILOMENA, CASTELLI G, STANLEY H. E.   +2 more
openaire   +2 more sources

Hurst exponent analysis of moving metallic surfaces

Physica A: Statistical Mechanics and its Applications, 2013
Abstract We report on the application of Hurst exponent analysis to digital speckle patterns for investigating moving rough surfaces in the presence of defects. Digital speckle patterns were generated by recording the scattered light from moving surfaces illuminated by a laser beam.
H.C. Soares, L. da Silva, D.C. Lobão, D.P. Caetano, J.A.O. Huguenin   +4 more
openaire   +1 more source

Data-driven performance assessment of multivariable control loops using a modified Hurst exponent–based index

J. Syst. Control. Eng., 2020
Control system performance assessment is significant, especially in practical applications. One of the most important indices for the performance assessment of control systems is minimum variance.
M. Khosroshahi, J. Poshtan
semanticscholar   +1 more source

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
openaire   +1 more source

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
openaire   +2 more sources

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 ...
openaire   +1 more source

Exploring vegetation trends and restoration possibilities in Pakistan by using Hurst exponent

Environmental science and pollution research international, 2023
Adeel Ahmad, Jiahua Zhang, Barjeece Bashir, Kashif Mahmood, Faisal Mumtaz   +4 more
semanticscholar   +1 more source

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
openaire   +1 more source