Hurst Exponents For Short Time Series
AbstractA new concept, called balanced estimator of diffusion entropy, is proposed to detect scalings in short time series. The effectiveness of the method is verified by means of a large number of artificial fractional Brownian motions. It is used also to detect scaling properties and structural breaks in stock price series of Shanghai Stock market.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1211.2862.
Date of creation: Nov 2012
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Publication status: Published in Physical Review E 84,066114 (2011)
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-11-24 (All new papers)
- NEP-ECM-2012-11-24 (Econometrics)
- NEP-ETS-2012-11-24 (Econometric Time Series)
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