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Temporal Fluctuations and Hurst Exponents of Goldstone and Massive Modes
Physical Review Letters, 1994We elucidate the connection of the Hurst exponent H and power spectra observed in recent experimental and numerical studies of liquid crystals and the Heisenberg model with the more familiar Langevin description. In agreement with empirical results, H=1 for Goldstone modes and H=1/2 for massive modes. We discuss the crossover phenomenon when a symmetry-
, Yeung, , Rao, , Desai
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Method to Improve Hurst Exponent Estimation
SSRN Electronic Journal, 2013This 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 ...
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Time-dependent Hurst exponent in financial time series
Physica A: Statistical Mechanics and its Applications, 2004Abstract 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 +2 more
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The Hurst Exponent of Sunspot Counts: A Note
SSRN Electronic Journal, 2016It is shown that the time series of sunspot counts may be represented as the sum of a regular cyclical process and a random Hurst process. In the 2375-month study period 1/1818-11/2015, the optimal cyclical components of mean monthly sunspot counts consist of a short wave function with a period of 131 months and a long wave function in which the ...
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HURST EXPONENTS FOR NON-PRECISE DATA
2013We 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
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Measurement of Hurst Exponents for Semiconductor Laser Phase Dynamics
Physical Review Letters, 2005The phase dynamics of a semiconductor laser with optical feedback is studied by construction of the Hilbert phase from its experimentally measured intensity time series. The Hurst exponent is evaluated for the phase fluctuations and grows from 0.5 to approximately 0.7 (indicating fractional Brownian motion) as the feedback strength is increased.
Wing-Shun, Lam +3 more
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Fast and unbiased estimator of the time-dependent Hurst exponent
Chaos: An Interdisciplinary Journal of Nonlinear Science, 2018We combine two existing estimators of the local Hurst exponent to improve both the goodness of fit and the computational speed of the algorithm. An application with simulated time series is implemented, and a Monte Carlo simulation is performed to provide evidence of the improvement.
Augusto Pianese +2 more
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The Hurst Exponent of Surface Temperature: A Note
SSRN Electronic Journal, 2015High values of the Hurst exponent of H=0.66±0.05 for deseasonalized monthly mean surface temperatures in the sample period 1850-2015 suggest persistence and long term memory in the temperature time series. Such Hurst phenomena have been observed in the stochastic processes of nature in the area of hydrology (Hurst) and also in the proxy record of ...
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The Hurst’s exponent in technical analysis signals
2006The fractal nature of financial data has been investigated through literature. The aim of this paper is to use the information given by the detection of the fractal measure of data in order to provide support for trading decisions when dealing with technical analysis signals that can be used to trigger buy/sell orders.
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