نتایج جستجو برای: hurst phenomenon

تعداد نتایج: 159457  

2010
Subrata Kumar Mitra

Hurst exponent (H) measured from R/S ratio, is being used as a measure to find predictability of a time series. The larger the H value, the stronger is the trending trait in the time series. In this paper, we estimated R/S ratio of several stock indexes of Indian market for 10 years. Though the overall Hurst exponent values for the selected series were close to 0.5, the value varied widely on p...

Journal: :Computers & Mathematics with Applications 2011

Journal: :Clinical Cardiology 1997

2012
XIONG JIN

Given a two-dimensional fractional multiplicative process (Ft)t∈[0,1] determined by two Hurst exponents H1 and H2, we show that there is an associated uniform Hausdorff dimension result for the images of subsets of [0, 1] by F if and only if H1 = H2.

2004
Daniel O. Cajueiro Benjamin M. Tabak

While the presence of long-range dependence in the asset returns seems to be a stylized fact, the issue of arguing the possible causes of this phenomena is totally obscure. Trying to shed light in this problem, we investigate the possible sources of the long-range dependence phenomena in the Brazilian Stock Market. For this purpose, we employ a sample which comprises stocks traded in the Brazil...

2007
Céline Lacaux Jean-Michel Loubes

In this paper, we build an estimator of the Hurst exponent of a fractional Lévy motion. The stochastic process is observed with random noise errors in the following framework: continuous time and discrete observation times. In both cases, we prove consistency of our wavelet type estimator. Moreover we perform some simulations in order to study numerically the asymptotic behaviour of this estimate.

2002
Christian Bender Robert J. Elliott

Integration with respect to a fractional Brownian motion with Hurst parameter 1/2 < H < 1 is related to the inner product: (f, g)H = H(2H − 1) ∫

2005
E. Iglói

Let B(t), t ∈ [−1, 1], be the fractional Brownian motion with Hurst parameter H ∈ ( 1 2 , 1 ) . In this paper we present the series representation

نمودار تعداد نتایج جستجو در هر سال

با کلیک روی نمودار نتایج را به سال انتشار فیلتر کنید