SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

The Hurst exponent in energy futures prices · Study

ArticleShelves

ArticleThe Hurst exponent in energy futures prices

Apostolos Serletis2007

Article2007

The Hurst exponent in energy futures prices

Apostolos Serletis · Aryeh Adam Rosenberg

78 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 78 citations exist upstream.

References

2002Second-order moving average and scaling of stochastic time series 2004Time-dependent Hurst exponent in financial time series 2004Analysis of clusters formed by the moving average of a long-range correlated time series 2007Detrending moving average algorithm: A closed-form approximation of the scaling law

Cited by

2011A copula–multifractal volatility hedging model for CSI 300 index futures 2019Long memory and data frequency in financial markets

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2010Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time seriesarticle · 3 shared references 2011Multifractal detrending moving average analysis on the US Dollar exchange ratesarticle · 3 shared references 2011Fractal and Multifractal Time Serieschapter · 3 shared references 2011Modified detrended fluctuation analysis based on empirical mode decomposition for the characterization of anti-persistent processesarticle · 3 shared references 2010Commodity predictability analysis with a permutation information theory approacharticle · 3 shared references 2015Joint multifractal analysis based on the partition function approach: analytical analysis, numerical simulation and empirical applicationarticle · 3 shared references

Details

Year2007

Typearticle

Published2007-03-08

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations78

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

Identifiers

doi10.1016/j.physa.2007.02.055

openalex_workW1965499600

Links

Imported from OpenAlex (CC0) — nothing here is generated.