Time-dependent Hurst exponent in financial time series

Physica A: Statistical Mechanics and its Applications

Volumn 344, Issue 1-2, 2004, Pages 267-271

  Carbone, A ^a   Castelli, G ^a   Stanley, H E ^b  

^a POLITECNICO DI TORINO   (Italy)

^b USA   (United States)

Author keywords

Hurst exponent; Time series analysis; Time varying persistence

Indexed keywords

ALGORITHMS; COMPUTATIONAL METHODS; COMPUTER SIMULATION; FOURIER TRANSFORMS; FRACTALS; KALMAN FILTERING; MATHEMATICAL MODELS; WAVELET TRANSFORMS;

ARTIFICIAL SERIES; BROWNIAN PATHS; DETRENDING MOVING AVERAGE (DMA); HURST EXPONENT;

TIME SERIES ANALYSIS;

EID: 5444248119     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.06.130     Document Type: Conference Paper

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