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.
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;
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
DOI :
10.1109/SOLI.2006.328981
