Results 21 to 30 of about 5,559 (235)
Characterization of turbulence stability through the identification of multifractional Brownian motions [PDF]
Nonlinear Processes in Geophysics, 2013 Multifractional Brownian motions have become popular as flexible models in describing real-life signals of high-frequency features in geoscience, microeconomics, and turbulence, to name a few.
K. C. Lee
doaj +1 more source
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
Statistical Analysis of Nanofiber Mat AFM Images by Gray-Scale-Resolved Hurst Exponent Distributions
Applied Sciences, 2021 Two-dimensional structures, either periodic or random, can be classified by diverse mathematical methods. Quantitative descriptions of such surfaces, however, are scarce since bijective definitions must be found to measure unique dependency between ...
Tomasz Blachowicz +5 more
doaj +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
On the Estimation Techniques of Hurst exponent [PDF]
Journal of Korea Water Resources Association, 2004 허스트 지수를 산정하기 위하여 기존에 여러 방법론들이 제안되어 왔다. 그러나, 이들 방법론들은 시계열들의 지속성에 대하여 각기 다른 특성들을 보이고 있음을 기존의 연구에서 알 수 있다 따라서 본 연구에서는 수문학에서 주로 이용하고 있는 보정용량, 조정용량, 수정조정용량 방법 이외에 생리학 분야와 전자 분야 등에서 이용되고 있는 1/f 파워 스펙트럼 밀도 분석, DFA, AVT 방법, 최우도법 등을 이용하여 허스트 지수를 산정하여 보았다. 즉, 단기간과 장기간 기억을 가진 카오스와 추계학적 시계열들에 대하여 각각의 방법들을 적용하여 비교 분석하고자 하였으며, 각 방법론들에 대한 장점 및 단점 그리고 한계에 대하여 논의하였다 ...
Byung-Sik Kim +2 more
openaire +1 more source
Improvement in Hurst exponent estimation and its application to financial markets
Financial Innovation, 2022 This research aims to improve the efficiency in estimating the Hurst exponent in financial time series. A new procedure is developed based on equality in distribution and is applicable to the estimation methods of the Hurst exponent.
A. Gómez-Águila +2 more
doaj +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
openaire +1 more source
MEASURING HURST EXPONENTS WITH THE FIRST RETURN METHOD [PDF]
Fractals, 1994 The First Return method has proven to be an efficient method for determining the Hurst exponent, H, of self-affine surfaces. We discuss its foundations and some corrections to scaling which must be taken into account for an adequate estimation of H.
Hansen, Alex +2 more
openaire +2 more sources