A major issue in statistical physics literature is the study of the long range dependence phenomenon usually presented in natural, social and financial processes. In particular, a big part of this literature relies on the determination of a parameter known as the Hurst exponent. Although many methods have been proposed to deal with this task, none of them are suitable for any time series and so...

We introduce the stochastic integration with respect to the infinite-dimensional fractional Brownian motion. Using the techniques of the anticipating stochastic calculus, we derive an Itô formula for Hurst parameter bigger than 1 2 .

We are going back to the roots of the original solar neutrino problem: the analysis of data from solar neutrino experiments. The application of standard deviation analysis (SDA) and diffusion entropy analysis (DEA) to the Super-Kamiokande I and II data reveals that they represent a non-Gaussian signal. The Hurst exponent is different from the scaling exponent of the probability density function...

In this note, we provide a non trivial example of differential equation driven by a fractional Brownian motion with Hurst parameter 1/3 < H < 1/2, whose solution admits a smooth density with respect to Lebesgue’s measure. The result is obtained through the use of an explicit representation of the solution when the vector fields of the equation are nilpotent, plus a Norris type lemma in the roug...

Knowledge of current vegetation dynamics and an ability to make accurate predictions of ecological changes are essential for minimizing food scarcity in developing countries. Vegetation trends are also closely related to sustainability issues, such as management of conservation areas and wildlife habitats. In this study, AVHRR and MODIS NDVI datasets have been used to assess the spatial tempora...

We derive the asymptotic behavior of weighted quadratic variations of fractional Brownian motion B with Hurst index H = 1/4. This completes the only missing case in a very recent work by I. Nourdin, D. Nualart and C.A. Tudor. Moreover, as an application, we solve a recent conjecture of K. Burdzy and J. Swanson on the asymptotic behavior of the Riemann sums with alternating signs associated to B.

Executive Summary In an ideal world, review and changes to computing curricula should be driven solely by academic concerns for the needs of students. The process should be informed by industry accreditation processes and international best practice (Hurst et al., 2001). However, Australian computing curricular review is often driven by the need for financial viability of programs with declinin...

The article emphasizes clinical and prognostic significance of non-linear measures of the heart rate variability, applied on the group of patients with coronary heart disease (CHD) and age-matched healthy control group. Three different methods were applied: Hurst exponent (H), Detrended Fluctuation Analysis (DFA) and approximate entropy (ApEn). Hurst exponent of the R-R series was determined by...

a r t i c l e i n f o JEL classification: F30 G14 G15 Keywords: Hurst exponent Financial crisis Financial contagion Efficiency Stock markets MFDMA algorithm Copula models This study analyzes how the 2008 and 2010 financial crises, which began in the US and Greece respectively, affected the Hurst exponents of index returns of the stock markets of Belgium, France, Greece, Japan, the Netherlands, ...