✦ LIBER ✦

Is Hurst Exponent Value Useful in Forecasting Financial Time Series?

✍ Scribed by Mitra, S. K.

Book ID: 120324988
Publisher: Canadian Center of Science and Education
Year: 2012
Tongue: English
Weight: 227 KB
Volume: 8
Category: Article
ISSN: 1911-2017
DOI: 10.5539/ass.v8n8p111

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Time-dependent Hurst exponent in financi

Time-dependent Hurst exponent in financial time series

✍ A. Carbone; G. Castelli; H.E. Stanley 📂 Article 📅 2004 🏛 Elsevier Science 🌐 English ⚖ 211 KB

We calculate the Hurst exponent HðtÞ 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 HðtÞ for artificial series, simulating monofractal Browni

How Useful Is Bagging in Forecasting Eco

How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation

✍ Inoue, Atsushi; Kilian, Lutz 📂 Article 📅 2008 🏛 American Statistical Association 🌐 English ⚖ 224 KB

[IEEE 2010 2nd International Conference

[IEEE 2010 2nd International Conference on Advanced Computer Control - Shenyang, China (2010.03.27-2010.03.29)] 2010 2nd International Conference on Advanced Computer Control - Time-dependent Hurst exponent in financial time series in China financial market

✍ Guozhi Wang, 📂 Article 📅 2010 🏛 IEEE ⚖ 108 KB

[Lecture Notes in Computer Science] Adva

[Lecture Notes in Computer Science] Advances in Swarm Intelligence Volume 6728 || Financial Time Series Forecast Using Neural Network Ensembles

✍ Tan, Ying; Shi, Yuhui; Chai, Yi; Wang, Guoyin 📂 Article 📅 2011 🏛 Springer Berlin Heidelberg ⚖ 468 KB

[Lecture Notes in Computer Science] AI 2

[Lecture Notes in Computer Science] AI 2006: Advances in Artificial Intelligence Volume 4304 || Predicting Stock Market Time Series Using Evolutionary Artificial Neural Networks with Hurst Exponent Input Windows

✍ Sattar, Abdul; Kang, Byeong-ho 📂 Article 📅 2006 🏛 Springer Berlin Heidelberg 🌐 German ⚖ 487 KB

This Book Constitutes The Refereed Proceedings Of The 19th Australian Joint Conference On Artificial Intelligence, Ai 2006, Held In Hobart, Australia, December 2006. Coverage Includes Foundations And Knowledge Based System, Machine Learning, Connectionist Ai, Data Mining, Intelligent Agents, Cogniti

[Lecture Notes in Computer Science] Roug

[Lecture Notes in Computer Science] Rough Sets and Knowledge Technology Volume 5589 || Forecasting Change Directions for Financial Time Series Using Hidden Markov Model

✍ Wen, Peng; Li, Yuefeng; Polkowski, Lech; Yao, Yiyu; Tsumoto, Shusaku; Wang, Guoy 📂 Article 📅 2009 🏛 Springer Berlin Heidelberg ⚖ 297 KB