MEASURING HURST EXPONENTS WITH THE FIRST RETURN METHOD
نویسندگان
چکیده
منابع مشابه
HURST EXPONENTS FOR NON-PRECISE DATA
We provide a framework for the study of statistical quantitiesrelated to the Hurst phenomenon when the data are non-precise with boundedsupport.
متن کاملhurst exponents for non-precise data
we provide a framework for the study of statistical quantitiesrelated to the hurst phenomenon when the data are non-precise with boundedsupport.
متن کاملImproved Estimates For The Rescaled Range And Hurst Exponents
The error of statistical volatility of intra-daily quoted price changes observed over a time interval,Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis', Jounal of Banking and standard deviation to correct this bias when the observed time scale is large enough. When the time scale is small, however, the R= ~ S statistic introduc...
متن کاملPredictability Analysis on HIV/AIDS System using Hurst Exponents
Methods of contemporary mathematical physics such as chaos theory are useful for analyzing and understanding the behavior of complex biological and physiological systems. The three dimensional model of HIV/AIDS is the basis of active research since it provides a complete characterization of disease dynamics and the interaction of HIV-1 with the immune system. In this work, the behavior of the H...
متن کاملA Practical Guide to Measuring the Hurst Parameter
This paper describes, in detail, techniques for measuring the Hurst parameter. Measurements are given on artificial data both in a raw form and corrupted in various ways to check the robustness of the tools in question. Measurements are also given on real data, both new data sets and well-studied data sets. All data and tools used are freely available for download along with simple “recipes” wh...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Fractals
سال: 1994
ISSN: 0218-348X,1793-6543
DOI: 10.1142/s0218348x94000740