Results 41 to 50 of about 235,462 (293)
Measuring conditional correlation between financial markets' inefficiency
Quantitative Finance and Economics, 2023 Assuming that stock prices follow a multi-fractional Brownian motion, we estimated a time-varying Hurst exponent ($ h_t $). The Hurst value can be considered a relative volatility measure and has been recently used to estimate market inefficiency ...
Fabrizio Di Sciorio +2 more
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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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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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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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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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Use of fractal analysis to evaluate the surface quality of agricultural machinery parts
BIO Web of Conferences, 2020 The research of the determination of the fractal characteristics of the surface of a material proposes the use of a stationary profilograph and a computer program for calculating the Hurst exponent.
Bavykin Oleg +4 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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Fractal Rigidity in Migraine [PDF]
, 2003 We study the middle cerebral artery blood flow velocity (MCAfv) in humans using transcranial Doppler ultrasonography (TCD). Scaling properties of time series of the axial flow velocity averaged over a cardiac beat interval may be characterized by two ...
Glaubic-Latka, Marta +3 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
openaire +2 more sources