Hurst Exponents For Short Time Series

Jingzhao Qi and Huijie Yang

Papers from arXiv.org

Abstract: 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.

Date: 2012-11
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Published in Physical Review E 84,066114 (2011)

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