Time-dependent Hurst exponent in financi
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A. Carbone; G. Castelli; H.E. Stanley
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Article
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2004
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Elsevier Science
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English
β 211 KB
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