Improvement in Hurst exponent estimation and its application to financial markets
Abstract This research aims to improve the efficiency in estimating the Hurst exponent in financial time series. A new procedure is developed based on equality in distribution and is applicable to the estimation methods of the Hurst exponent. We show how to use this new procedure with three of the m...
Furkejuvvon:
| Váldodahkkit: | , , |
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| Materiálatiipa: | Artigo |
| Giella: | Inglês |
| Almmustuhtton: |
SpringerOpen
2022-09-01
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| Ráidu: | Financial Innovation |
| Fáttát: | |
| Liŋkkat: | https://doi.org/10.1186/s40854-022-00394-x |
| Fáddágilkorat: |
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