1211.2862 (Jingzhao Qi et al.)

Hurst Exponents For Short Time Series    [PDF]

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.

View original: http://arxiv.org/abs/1211.2862