Time-dependent Hurst exponent in financial time series

2004 ◽  
Vol 344 (1-2) ◽  
pp. 267-271 ◽  
Author(s):  
A. Carbone ◽  
G. Castelli ◽  
H.E. Stanley
Keyword(s):  
Time Series ◽  
Hurst Exponent ◽  
Financial Time Series ◽  
Time Dependent ◽  
Financial Time

ESTIMATION OF HURST EXPONENT FOR THE FINANCIAL TIME SERIES

2009 ◽  
Author(s):  
J. Kumar ◽  
P. Manchanda ◽  
A. H. Siddiqi ◽  
M. Brokate ◽  
A. K. Gupta
Keyword(s):  
Time Series ◽  
Hurst Exponent ◽  
Financial Time Series ◽  
Financial Time

Hurst exponent analysis of financial time series

2001 ◽  
Vol 5 (4) ◽  
pp. 269-272 ◽  
Author(s):  
Hong-wei SANG ◽  
Tian Ma ◽  
Shuo-zhong Wang
Keyword(s):  
Time Series ◽  
Hurst Exponent ◽  
Financial Time Series ◽  
Financial Time

scholarly journals An Extended Speculation Game for the Recovery of Hurst Exponent of Financial Time Series

2020 ◽  
Vol 16 (02) ◽  
pp. 319-325
Author(s):  
Kei Katahira ◽  
Yu Chen
Keyword(s):  
Time Series ◽  
Hurst Exponent ◽  
Financial Time Series ◽  
Price Change ◽  
Market Price ◽  
Agent Based ◽  
Financial Time ◽  
Real Market ◽  
Initial Price ◽  
Perturbative Part

The speculation game is an agent-based toy model to investigate the dynamics of the financial market. Our model has achieved the reproduction of 10 of the well-known stylized facts for financial time series. However, there is also a divergence from the behavior of real market. The market price of the model tends to be anti-persistent to the initial price, resulting in the quite small value of Hurst exponent of price change. To overcome this problem, we extend the speculation game by introducing a perturbative part to the price change with the consideration of other effects besides pure speculative behaviors.

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