DocumentCode
1895149
Title
Hurst exponent estimation based on Modified Aggregated Variance Method
Author
Guo-ping, Bao ; Yi-rong, Ying
Author_Institution
Sch. of Int. Bus. & Manage., Shanghai Univ.
fYear
2006
fDate
21-23 June 2006
Firstpage
51
Lastpage
56
Abstract
Hurst exponent is an important index to describe the fractional Brownian motion, many paper got the result based on big data sample. To small sample we designed a modified aggregated variance method to evaluate the Hurst exponent based on the aggregated variance method. We found that the new method could improve the R-squared when the sample data relatively small
Keywords
Brownian motion; econophysics; share prices; stock markets; time series; Hurst exponent estimation; R/S analysis; fractional Brownian motion; modified aggregated variance method; stock market prices; time series; Analysis of variance; Brownian motion; Economic forecasting; Hydrology; Motion estimation; Security; Statistics; Stock markets; Time series analysis; Water storage; Hurst exponent; Modified Aggregated Variance Method; R/S analysis; Time series;
fLanguage
English
Publisher
ieee
Conference_Titel
Service Operations and Logistics, and Informatics, 2006. SOLI '06. IEEE International Conference on
Conference_Location
Shanghai
Print_ISBN
1-4244-0317-0
Electronic_ISBN
1-4244-0318-9
Type
conf
DOI
10.1109/SOLI.2006.328981
Filename
4125550
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