Improvement in Hurst exponent estimation and its application to financial markets

Improvement in Hurst exponent estimation and its application to financial markets

Abstract This research aims to improve the efficiency in estimating the Hurst exponent in financial time series. A new procedure is developed based on equality in distribution and is applicable to the estimation methods of the Hurst exponent. We show how to use this new procedure with three of the m...

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Bibliographic Details
Main Authors: A. Gómez-Águila, J. E. Trinidad-Segovia, M. A. Sánchez-Granero
Format: Article
Language:English
Published: SpringerOpen 2022-09-01
Series:Financial Innovation
Subjects:
Hurst exponent
Long memory
Financial market
TA algorithm
GHE algorithm
FD algortihms
Online Access:https://doi.org/10.1186/s40854-022-00394-x

Internet

https://doi.org/10.1186/s40854-022-00394-x

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