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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
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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
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Stock price fluctuations and the mimetic behaviors of traders [PDF]
, 2006 We give a stochastic microscopic modelling of stock markets driven by continuous double auction. If we take into account the mimetic behavior of traders, when they place limit order, our virtual markets shows the power-law tail of the distribution of ...
Albert +11 more
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Applied Sciences, 2023 Two-dimensional fractional Brownian motion (2D FBM) is an effective model for describing natural scenes and medical images. Essentially, it is characterized by the Hurst exponent (H) or its corresponding fractal dimension (D).
Yen-Ching Chang, Jin-Tsong Jeng
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The identification of the long-term dependence in the sale of commodities [PDF]
Modern Management ReviewThe paper presents the algorithm and interpretation of Hurst exponent. It has been used during the analysis of sales in selected enterprise. The Hurst exponent was calculated empirically and theoretically, then the data was compared to verify if the ...
Krystyna Skoczylas
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Review Article: On the relation between the seismic activity and the Hurst exponent of the geomagnetic field at the time of the 2000 Izu swarm [PDF]
Natural Hazards and Earth System Sciences, 2013 Many papers document the observation of earthquake-related precursory signatures in geomagnetic field data. However, the significance of these findings is ambiguous because the authors did not adequately take into account that these signals could have ...
F. Masci, J. N. Thomas
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Portfolio Optimization at Damascus Securities Exchange: A Fractal Analysis Approach
Cogent Economics & Finance, 2023 This paper adopts the fractal analysis approach, specifically a Hurst exponent index in portfolio optimization at the Damascus Securities Exchange (DSE).
Kinda Dooba, Sulaiman Mouselli
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Надежность и качество сложных систем, 2023 Background. Currently, the Hurst exponent is quite easily interpreted in relation to biometric, medical and economic data, but it is customary to evaluate it on large samples.
Aleksandr I. Ivanov +2 more
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Hurst exponents, Markov processes, and fractional Brownian motion [PDF]
Physica A: Statistical Mechanics and its Applications, 2007 There is much confusion in the literature over Hurst exponents. Recently, we took a step in the direction of eliminating some of the confusion. One purpose of this paper is to illustrate the difference between fBm on the one hand and Gaussian Markov processes where H not equal to 1/2 on the other.
McCauley, Joseph L. +2 more
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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
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