Author:
Di Sciorio Fabrizio,Gonzalez Laura Molero,Trinidad Segovia J.E.
Reference19 articles.
1. Forecasting VIX with Hurst Exponent;S Bianchi;Mathematical and Statistical Methods for Actuarial Sciences and Finance: MAF 2022,2022
2. Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity;S Bianchi;Quantitative finance,2013
3. Time-varying Hurst-Hoelder exponents and the dynamics of (in)efficiency in stock markets;S Bianchi;Chaos, Solitons & Fractals,2018
4. Applying Hurst Exponent in pair trading strategies on Nasdaq 100 index;Q Bui;Physica A: Statistical Mechanics and its Applications,2022
5. A comment on measuring the Hurst exponent of financial time series;M Couillard;Physica A: Statistical Mechanics and its Applications,2005