Results 21 to 30 of about 246,619 (220)
Cryptocurrencies and Long-Range Trends
International Journal of Financial Studies, 2023 In this study we investigate possible long-range trends in the cryptocurrency market. We employed the Hurst exponent in a sample covering the period from 1 January 2016 to 26 March 2021.
Monica Alexiadou +3 more
doaj +1 more source
Applied Sciences, 2022 We analyze the empirical series of malaria incidence, using the concepts of autocorrelation, Hurst exponent and Shannon entropy with the aim of uncovering hidden variables in those series.
João Sequeira +3 more
doaj +1 more source
Temporal detection of sharp landslide deformation with ensemble-based LSTM-RNNs and Hurst exponent
Geomatics, Natural Hazards & Risk, 2021 The sharp slope deformation which often contains seasonal patterns is the major source of the landslide hazard with respect to the local community, which it is a serious geological environment problem.
Huajin Li +5 more
semanticscholar +1 more source
Topics in Cognitive Science, EarlyView., 2023 Abstract Fractal fluctuations are a core concept for inquiries into human behavior and cognition from a dynamic systems perspective. Here, we present a generalized variance method for multivariate detrended fluctuation analysis (mvDFA). The advantage of this extension is that it can be applied to multivariate time series and considers intercorrelation ...
Sebastian Wallot +5 more
wiley +1 more source
Bayesian estimation of the self-similarity exponent of the Nile River fluctuation [PDF]
Nonlinear Processes in Geophysics, 2011 The aim of this paper is to estimate the Hurst parameter of Fractional Gaussian Noise (FGN) using Bayesian inference. We propose an estimation technique that takes into account the full correlation structure of this process.
S. Benmehdi +3 more
doaj +1 more source
COVID-19 Impact on Cryptocurrencies: Evidence from a Wavelet-Based Hurst Exponent [PDF]
Social Science Research Network, 2020 Cryptocurrency history begins in 2008 as a means of payment proposal. However, cryptocurrencies evolved into complex, high yield speculative assets. Contrary to traditional financial instruments, they are not (mostly) traded in organized, law-abiding ...
M. Arouxét +3 more
semanticscholar +1 more source
Testing reliability of the spatial Hurst exponent method for detecting a change point
Journal of Water and Climate Change, 2021 The reliability of using abrupt changes in the spatial Hurst exponent for identifying temporal points of abrupt change in climate dynamics is explored.
U. Singh, A. K. Mittal
semanticscholar +1 more source
Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency
Mathematics, 2021 In this paper, we use a statistical arbitrage method in different developed and emerging countries to show that the profitability of the strategy is based on the degree of market efficiency.
Karen Balladares +3 more
doaj +1 more source
Ljapunov Exponents, Hyperchaos and Hurst Exponent
Zeitschrift für Naturforschung A, 2005 Abstract We consider nonlinear dynamical systems with chaotic and hyperchaotic behaviour.We investigate the behaviour of the Hurst exponent at the transition from chaos to hyperchaos. A two-dimensional coupled logistic map is studied.
Willi-Hans Steeb, Eugenio Cosme Andrieu
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Comparison of Hurst exponent estimation methods
Journal of Economics and Administrative Sciences, 2021 Through recent years many researchers have developed methods to estimate the self-similarity and long memory parameter that is best known as the Hurst parameter. In this paper, we set a comparison between nine different methods. Most of them use the deviations slope to find an estimate for the Hurst parameter like Rescaled range (R/S), Aggregate ...
Amjad H. Hamza, Munaf Y. Hmood
openaire +2 more sources