We calculate the Hurst exponent HΓ°tΓ of several time series by dynamical implementation of a recently proposed scaling technique: the detrending moving average (DMA). In order to assess the accuracy of the technique, we calculate the exponent HΓ°tΓ for artificial series, simulating monofractal Browni
β¦ LIBER β¦
A comment on measuring the Hurst exponent of financial time series
β Scribed by Michel Couillard; Matt Davison
- Publisher
- Elsevier Science
- Year
- 2005
- Tongue
- English
- Weight
- 246 KB
- Volume
- 348
- Category
- Article
- ISSN
- 0378-4371
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