Hurst Exponents For Short Time Series [PDF]
Jingzhao Qi, Huijie YangA 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.View original: http://arxiv.org/abs/1211.2862
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