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Hurst Exponents For Short Time Series


  • Jingzhao Qi
  • Huijie Yang


A 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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  • Jingzhao Qi & Huijie Yang, 2012. "Hurst Exponents For Short Time Series," Papers 1211.2862,
  • Handle: RePEc:arx:papers:1211.2862

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