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...

Celý popis

Podrobná bibliografie

Hlavní autoři:	A. Gómez-Águila, J. E. Trinidad-Segovia, M. A. Sánchez-Granero
Médium:	Artigo
Jazyk:	Inglês
Vydáno:	SpringerOpen 2022-09-01
Edice:	Financial Innovation
Témata:	Hurst exponent Long memory Financial market TA algorithm GHE algorithm FD algortihms
On-line přístup:	https://doi.org/10.1186/s40854-022-00394-x
Tagy:	Přidat tag Žádné tagy, Buďte první, kdo vytvoří štítek k tomuto záznamu!