A note on geometric method-based procedures to calculate the Hurst exponent
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Sánchez Granero, M.A. & Trinidad Segovia, J.E. & García Pérez, J., 2008. "Some comments on Hurst exponent and the long memory processes on capital markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(22), pages 5543-5551.
- Marco Corazza & A. G. Malliaris, 2005. "Multi-Fractality in Foreign Currency Markets," World Scientific Book Chapters,in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 11, pages 151-184 World Scientific Publishing Co. Pte. Ltd..
- Laskin, Nick, 2000. "Fractional market dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 482-492.
- MacBeth, James D & Merville, Larry J, 1979. "An Empirical Examination of the Black-Scholes Call Option Pricing Model," Journal of Finance, American Finance Association, vol. 34(5), pages 1173-1186, December.
- Sun, Wei & Rachev, Svetlozar & Fabozzi, Frank J., 2007. "Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns," Journal of Economics and Business, Elsevier, vol. 59(6), pages 575-595.
- Jean-Philippe Bouchaud & Didier Sornette, 1994. "The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes," Science & Finance (CFM) working paper archive 500040, Science & Finance, Capital Fund Management.
- Rafal Weron, 2001. "Measuring long-range dependence in electricity prices," Papers cond-mat/0103621, arXiv.org.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Fernández-Martínez, M. & Sánchez-Granero, M.A. & Trinidad Segovia, J.E., 2013. "Measuring the self-similarity exponent in Lévy stable processes of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5330-5345.
- M. Fern'andez-Mart'inez & M. A S'anchez-Granero & Mar'ia Jos'e Mu~noz Torrecillas & Bill McKelvey, 2016. "A comparison among some Hurst exponent approaches to predict nascent bubbles in $500$ company stocks," Papers 1601.04188, arXiv.org.
- Martín-Montoya, L.A. & Aranda-Camacho, N.M. & Quimbay, C.J., 2015. "Long-range correlations and trends in Colombian seismic time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 124-133.
More about this item
KeywordsHurst exponent; Financial market; Long memory; GM algorithms; Fractal structure; Generalized fractal space;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:391:y:2012:i:6:p:2209-2214. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.