scholarly journals Calculating Hurst Exponent with the Use of the Siroky Method in Developed and Emerging Markets

2020 ◽  
Vol 3 (27) ◽  
pp. 25-61
Author(s):  
Krzysztof Borowski ◽  
Michał Matusewicz
Keyword(s):  
Exchange Rate ◽  
Hurst Exponent ◽  
Moving Average ◽  
Paper Analysis ◽  
Emerging Countries ◽  
Fluctuation Analysis ◽  
Time Intervals ◽  
Developed Country ◽  
Hurst Coefficient ◽  
Detrended Fluctuation

The purpose of the article This paper analysis Hurst exponents calculated with the use of the Siroky method in two time intervals of 625 (H625) and 1250 (H1260) sessions for the following assets: (the number of assets for a given group in brackets): Stock indices (74), currency pairs divided into segments: USD exchange rate in relation to 42 other currencies (USDXXX), EURO exchange rate in relation to 41 other currencies (EURXXX), JPY exchange rate in relation to 40 other currencies (JPYXXX) and other currency pairs (12). In total, 209 financial instruments were analyzed. Methodology: Hurst coefficient calculation with the use of the following methods; Siroky, Detrended Moving Average (DMA) and Detrended Fluctuation Analysis (DFA). Results of the research: The Hurst coefficient values calculated with the use of Siroky method are similar to the results obtained using DFA and DMA methods. The second main conclusion that was drawn from the research may be formulated as follows: exchange rates calculated for the developed-developed country currencies are more effective than in the case of the developed-emerging countries group.

scholarly journals Scaling behaviour of the global tropopause

2008 ◽  
Vol 8 (5) ◽  
pp. 17891-17905
Author(s):  
C. Varotsos ◽  
M. Efstathiou ◽  
C. Tzanis
Keyword(s):  
Detrended Fluctuation Analysis ◽  
Small Time ◽  
Radiosonde Data ◽  
Fluctuation Analysis ◽  
Tropopause Height ◽  
Time Intervals ◽  
Long Range Correlations ◽  
The Tropics ◽  
Detrended Fluctuation ◽  
Climatic Characteristics

Abstract. Detrended fluctuation analysis is applied to the time series of the global tropopause height derived from the 1980–2004 daily radiosonde data, in order to detect long-range correlations in its time evolution. Global tropopause height fluctuations in small time-intervals are found to be positively correlated to those in larger time intervals in a power-law fashion. The exponent of this dependence is larger in the tropics than in the middle and high latitudes in both hemispheres. Greater persistence is observed in the tropopause of the Northern than in the Southern Hemisphere. This finding for the tropopause height variability should reduce the existing uncertainties in assessing the climatic characteristics.

scholarly journals CORRELATIONS BETWEEN RECONSTRUCTED EUR EXCHANGE RATES VERSUS CHF, DKK, GBP, JPY AND USD

2001 ◽  
Vol 12 (02) ◽  
pp. 169-195 ◽  
Author(s):  
M. AUSLOOS ◽  
K. IVANOVA
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Point Of View ◽  
Fluctuation Analysis ◽  
The European Union ◽  
Linear Superposition ◽  
Exchange Rate Fluctuations ◽  
Large Size ◽  
Japanese Yen ◽  
Detrended Fluctuation

On 1 January 1999, the European Union introduced a common currency Euro (EUR), to become the legal currency in all eleven countries which form the EUR. In order to test the EUR behavior and understand various features, the EUR exchange rate is artificially extrapolated back to 1993 by a linear superposition of the exchange rates of the 11 currencies composing EUR with respect to several currencies not belonging to the EUR, i.e., Swiss Franc (CHF), Danish Kroner (DKK), British Pound (GBP), Japanese Yen (JPY) and U.S. Dollar (USD) of interest for reasons given in the text. The distribution of fluctuations of the exchange rates is shown to be Gaussian for the central part of the distribution, and having fat tails for the large size fluctuations. Within the Detrended Fluctuation Analysis (DFA) statistical method, we have obtained the power law behavior describing the root-mean-square deviation of the exchange rate fluctuations as a function of time. For the period between January 1995 and January 1999, we have compared the time-dependent exponent of these exchange rate fluctuations for EUR and that of the 11 currencies which form the EUR. The German Mark (DEM) and the French Franc (FRF) have been the currencies primarily leading the fluctuations of the exchange rates, while Italian Lira (ITL) and Portuguese Escudo (PTE) are the less relevant currencies from this point of view. Technical considerations for the EUR implementation are given as conclusions. The cases of exchange rates with DKK appear quite different from the other four major currencies.

scholarly journals Scaling behaviour of the global tropopause

2009 ◽  
Vol 9 (2) ◽  
pp. 677-683 ◽  
Author(s):  
C. Varotsos ◽  
M. Efstathiou ◽  
C. Tzanis
Keyword(s):  
Long Range ◽  
Detrended Fluctuation Analysis ◽  
Sea Surface ◽  
Fluctuation Analysis ◽  
Tropopause Height ◽  
Time Intervals ◽  
Long Range Correlations ◽  
Scaling Behaviour ◽  
Detrended Fluctuation ◽  
Global Mean

Abstract. Detrended fluctuation analysis is applied to the time series of the global tropopause height derived from the 1980–2004 daily radiosonde data, in order to detect long-range correlations in its time evolution. Global tropopause height fluctuations in small time-intervals are found to be positively correlated to those in larger time intervals in a power-law fashion. The exponent of this dependence is larger in the tropics than in the middle and high latitudes in both hemispheres. Greater persistence is observed in the tropopause of the Northern than in the Southern Hemisphere. A plausible physical explanation of the fact that long-range correlations in tropopause variability decreases with increasing latitude is that the column ozone fluctuations (that are closely related with the tropopause ones) exhibit long range correlations, which are larger in tropics than in the middle and high latitudes at long time scales. This finding for the tropopause height variability should reduce the existing uncertainties in assessing the climatic characteristics. More specifically the reliably modelled values of a climatic variable (i.e. past and future simulations) must exhibit the same scaling behaviour with that possibly existing in the real observations of the variable under consideration. An effort has been made to this end by applying the detrended fluctuation analysis to the global mean monthly land and sea surface temperature anomalies during the period January 1850–August 2008. The result obtained supports the findings presented above, notably: the correlations between the fluctuations in the global mean monthly land and sea surface temperature display scaling behaviour which must characterizes any projection.

Scaling behavior of earthquakes’ inter-events time series

Open Physics ◽  
2009 ◽  
Vol 7 (3) ◽  
Author(s):  
Shahriar Shadkhoo ◽  
Fakhteh Ghanbarnejad ◽  
Gholam Jafari ◽  
Mohammad Tabar
Keyword(s):  
Time Series ◽  
Time Scales ◽  
Hurst Exponent ◽  
Detrended Fluctuation Analysis ◽  
Fluctuation Analysis ◽  
Data Set ◽  
Scaling Properties ◽  
Independent Events ◽  
Detrended Fluctuation

AbstractIn this paper, we investigate the statistical and scaling properties of the California earthquakes’ inter-events over a period of the recent 40 years. To detect long-term correlations behavior, we apply detrended fluctuation analysis (DFA), which can systematically detect and overcome nonstationarities in the data set at all time scales. We calculate for various earthquakes with magnitudes larger than a given M. The results indicate that the Hurst exponent decreases with increasing M; characterized by a Hurst exponent, which is given by, H = 0:34 + 1:53/M, indicating that for events with very large magnitudes M, the Hurst exponent decreases to 0:50, which is for independent events.

TIME-VARYING LONG MEMORIES OF THE CHINESE CURRENCY AND STOCK MARKETS BASED ON THE HURST EXPONENT

2014 ◽  
Vol 13 (01) ◽  
pp. 1450007 ◽  
Author(s):  
CAO GUANGXI ◽  
HAN YAN ◽  
CUI WEIJUN
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stock Markets ◽  
Hurst Exponent ◽  
Composite Index ◽  
Fluctuation Analysis ◽  
Time Varying ◽  
Chinese Stock Market ◽  
Currency Market ◽  
Cointegration Tests

Based on the daily return and volatility series of the Chinese yuan (RMB)/US dollar (USD) exchange rate and the Shanghai Stock Composite Index, the time-varying long memories of the Chinese currency and stock markets are investigated by comprehensively using the rescaled range (R/S), the modified R/S, and the detrended fluctuation analysis methods. According to the results drawn: (1) the efficiency of the Chinese currency market has not improved significantly, whereas the efficiency of the Chinese stock market has improved steadily, (2) volatility series presents longer memory than return series either in the Chinese currency or stock market and (3) the time-varying Hurst exponent of the Chinese currency market is sensitive to the reform that enhances the flexibility of the RMB exchange rate. Moreover, we find that short-term bidirectional Granger causal relationship exists, but no long-run equilibrium relationship between the time-varying Hurst exponents of the Chinese currency and stock markets was found based on the Granger causality and cointegration tests, respectively.

scholarly journals Testing EMA Indicator for the Currency Pair EUR / USD

2017 ◽  
Vol 5 (1) ◽  
pp. 35-40
Author(s):  
Andrea Kolková
Keyword(s):  
Exchange Rate ◽  
Business Strategy ◽  
Moving Average ◽  
Time Frame ◽  
Time Intervals ◽  
Underlying Assumption

Abstract The aim of this paper is to verify the effectiveness of EMA indicator according to selected time intervals. The underlying assumption is that, on longer timescales EMA is profitable and provides more relevant signals. The second objective of this paper is to test the signals of indicators in different months. It is believed that in September and January the number of trading signals on this indicator will increase. Testing will be done on the five-minute time frame. The test will be subjected to 65,000 rate values of the EUR / USD currency pair. Effectiveness of the analysis will be evaluated on the basis of digital (binary) option. Business strategy is based on EMA crossover indicator of current exchange rate. By the contribution there were confirmed hypotheses about more profitable signals when selecting a greater timeframe breadth of moving average. There was also confirmed an increased amount of signals in September, but not in January.

FRACTALITY EVIDENCE AND LONG-RANGE DEPENDENCE ON CAPITAL MARKETS: A HURST EXPONENT EVALUATION

Fractals ◽  
2014 ◽  
Vol 22 (04) ◽  
pp. 1450010 ◽  
Author(s):  
CAMELIA OPREAN ◽  
CRISTINA TĂNĂSESCU
Keyword(s):  
Random Walk ◽  
Stock Returns ◽  
Long Range ◽  
Capital Markets ◽  
Hurst Exponent ◽  
Efficient Market Hypothesis ◽  
Long Range Dependence ◽  
Fluctuation Analysis ◽  
Random Walk Hypothesis ◽  
Detrended Fluctuation

Since the existence of market memory could implicate the rejection of the efficient market hypothesis, the aim of this paper is to find any evidence that selected emergent capital markets (eight European and BRIC markets, namely Hungary, Romania, Estonia, Czech Republic, Brazil, Russia, India and China) evince long-range dependence or the random walk hypothesis. In this paper, the Hurst exponent as calculated by R/S fractal analysis and Detrended Fluctuation Analysis is our measure of long-range dependence in the series. The results reinforce our previous findings and suggest that if stock returns present long-range dependence, the random walk hypothesis is not valid anymore and neither is the market efficiency hypothesis.

Fish Sound Characterization Using Multifractal Detrended Fluctuation Analysis

2020 ◽  
Vol 19 (01) ◽  
pp. 2050009 ◽  
Author(s):  
Kranthikumar Chanda ◽  
Shubham Shet ◽  
Bishwajit Chakraborty ◽  
Arvind K. Saran ◽  
William Fernandes ◽  
...  
Keyword(s):  
Hurst Exponent ◽  
Detrended Fluctuation Analysis ◽  
Linear Method ◽  
Multifractal Spectrum ◽  
Fluctuation Analysis ◽  
Multifractal Detrended Fluctuation Analysis ◽  
Generalized Hurst Exponent ◽  
Estuarine Systems ◽  
Detrended Fluctuation ◽  
Sound Data

This work involves the application of a non-linear method, multifractal detrended fluctuation analysis (MFDFA), to describe fish sound data recorded from the open waters of two major estuarine systems. Applying MFDFA, the second-order Hurst exponent [Formula: see text] values are found to be [Formula: see text] and [Formula: see text] for the fish families Batrachoididae (common name: Toadfish) and Sciaenidae (common name: Croakers, drums), respectively. The generalized Hurst exponent [Formula: see text]-related width parameters [Formula: see text] are found to be [Formula: see text] and [Formula: see text], respectively, for toadfish and Sciaenidae vocalizations, implying greater heterogeneity and multifractal characteristics. The results suggest that the Sciaenidae fish calls are smoother in comparison with Batrachoididae. Clustering of multifractal spectrum-related parameters with respect to toadfish and Sciaenidae vocalization characteristics is observed in this analyses.

scholarly journals A probe into the Multifractal Behaviour of Total Ozone Time Series through Detrended Fluctuation Analysis

2021 ◽  
Author(s):  
Sombit Chakraborty ◽  
Surajit Chattopadhyay
Keyword(s):  
Time Series ◽  
Hurst Exponent ◽  
Detrended Fluctuation Analysis ◽  
Total Ozone ◽  
Fluctuation Analysis ◽  
Multifractal Detrended Fluctuation Analysis ◽  
Order Polynomial ◽  
Local Trend ◽  
Detrended Fluctuation ◽  
Daily Total

Abstract The present study reports a multifractal detrended fluctuation analysis of total ozone time series. Considering daily total ozone concentration (TOC) data ranging from 2015 to 2019, we have created a new profile by subtracting the trend. Subsequently we have divided the profile \({X}_{i}\) into non intersecting segments of equal time scale varying from 25 to 30. Fitting a second order polynomial, we have eliminated the local trend from each segment and thereafter we have computed the detrended variance. Finally the multifractal behaviour has been identified and the singularity spectra has helped us in obtaining the generalised Hurst exponent which in this case has come out to be greater than 0.5.

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