Itô’s Excursion Theory, the Hurst Coefficient, and Fractional Excursions in Finance

2012 ◽  
Author(s):  
Paitoon Wongsasutthikul ◽  
Calum G. Turvey
Keyword(s):  
Excursion Theory ◽  
Hurst Coefficient

CHARACTERIZING DYNAMIC SPECKLE TIME SERIES WITH THE HURST COEFFICIENT CONCEPT

Fractals ◽  
2004 ◽  
Vol 12 (03) ◽  
pp. 319-329 ◽  
Author(s):  
L. I. PASSONI ◽  
H. RABAL ◽  
C. M. ARIZMENDI
Keyword(s):  
Speckle Pattern ◽  
Time History ◽  
Speckle Interferometry ◽  
Active Materials ◽  
Laser Illumination ◽  
Corn Seed ◽  
Dynamic Speckle ◽  
Hurst Coefficient ◽  
History Of ◽  
Living Tissues

We propose in this work a dynamic speckle descriptor based on a Hurst wavelet estimator. The dynamic speckle or biospeckle is a phenomenon produced by laser illumination of active materials, such as biological tissue or the drying process of paint. Dynamic speckle interferometry is a useful technique for assessing the time evolution of surfaces as also to segment the loci of different activity in living tissues. Considering previous biospeckle characterization based on the autocorrelation function and its relation with the Hurst coefficient, a wavelet-based estimator is proposed as a feature extraction of the dynamic speckle characteristic. Encouraging results of the descriptor performance are obtained via three different experiments: a time history of speckle pattern applied to the drying of painting, segmenting regions in whole field image applied to the viability test of a corn seed and also to the bruising in fruits.

scholarly journals Estimation of Parameters and Verification of Statistical Hypotheses for Gaussian Models of Stock Price

2016 ◽  
Vol 55 (1) ◽  
pp. 91-101
Author(s):  
Dmytro Marushkevych ◽  
Yevheniia Munchak
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Asset Prices ◽  
Estimation Of Parameters ◽  
Gaussian Models ◽  
Hurst Coefficient ◽  
Statistical Hypotheses

We construct models of asset prices on the Ukrainian stock market and analyse their applicability by checkingappropriate statistical hypotheses using actual observed data. We also analyse the presence of jumps in the dynamics ofdifferent assets and estimate the Hurst coefficient for the logarithm of the price of the asset by two different methods.

scholarly journals APPLICATION OF HURST INDICATOR TO CHOOSE AN ALGORITHM FOR RESOURCE CONTROL OF A TELECOMMUNICATION NETWORK

2020 ◽  
Vol 10 (1) ◽  
pp. 4-7
Author(s):  
Anton Vrublevskiy ◽  
Ivan Lesovoy ◽  
Gennadij Pylypenko
Keyword(s):  
Control System ◽  
Fuzzy Control ◽  
Fuzzy System ◽  
Telecommunication Network ◽  
Resource Control ◽  
Network Resources ◽  
Fuzzy Control System ◽  
Hurst Coefficient

It has been shown that fuzzy integrals (Sugeno and Shocke) have special properties and are suitable for a fuzzy system for managing the resources of a telecommunication network. The form of choosing a method for calculating the Hurst coefficient in a fuzzy control system for telecommunication network resources is proposed.

Small Sample Properties of H and K-Estimators of the Hurst Coefficient h

1970 ◽  
Vol 6 (6) ◽  
pp. 1583-1594 ◽  
Author(s):  
James R. Wallis ◽  
Nicholas C. Matalas
Keyword(s):  
Small Sample ◽  
Hurst Coefficient ◽  
Small Sample Properties

scholarly journals Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes

2016 ◽  
Vol 53 (2) ◽  
pp. 572-584 ◽  
Author(s):  
Erik J. Baurdoux ◽  
Juan Carlos Pardo ◽  
José Luis Pérez ◽  
Jean-François Renaud
Keyword(s):  
Risk Process ◽  
Levy Processes ◽  
Insurance Company ◽  
Excursion Theory ◽  
Insurance Risk ◽  
Scale Functions ◽  
Surplus Process ◽  
Parisian Ruin ◽  
Risk Processes ◽  
Spectrally Negative Lévy Processes

Abstract Inspired by the works of Landriault et al. (2011), (2014), we study the Gerber–Shiu distribution at Parisian ruin with exponential implementation delays for a spectrally negative Lévy insurance risk process. To be more specific, we study the so-called Gerber–Shiu distribution for a ruin model where at each time the surplus process goes negative, an independent exponential clock is started. If the clock rings before the surplus becomes positive again then the insurance company is ruined. Our methodology uses excursion theory for spectrally negative Lévy processes and relies on the theory of so-called scale functions. In particular, we extend the recent results of Landriault et al. (2011), (2014).

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