Time and scale Hurst exponent analysis for financial markets
Author:
Publisher
Elsevier BV
Subject
Condensed Matter Physics,Statistics and Probability
Reference12 articles.
1. Time-dependent Hurst exponents in financial time series;Carbone;Physica A,2004
2. Using the scaling analysis to characterize financial markets;Di Matteo;Journal of Banking & Finance,2005
3. Can one make any crash prediction in finance using the local Hurst exponent idea?;Grech;Physica A,2004
4. Detecting multi-fractal properties in asset returns: An assessment of the ‘scaling estimator’;Lux;International Journal of Modern Physics,2004
5. An Introduction to Econophysics;Mantegna,2000
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