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A comment on measuring the Hurst exponent of financial time series · Study

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ArticleA comment on measuring the Hurst exponent of financial time series

Michel Couillard2004

Article2004

A comment on measuring the Hurst exponent of financial time series

Michel Couillard · Matt Davison

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

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Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1965The Behavior of Stock-Market Prices 1963The Variation of Certain Speculative Prices 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 1988Permanent and Temporary Components of Stock Prices 1996Statistics for Long-Memory Processes.1988Mean reversion in stock prices 1991Long-Term Memory in Stock Market Prices 1996Statistics for Long-Memory Processes.

Cited by

2012MULTIFRACTAL CROSS-CORRELATION ANALYSIS BASED ON STATISTICAL MOMENTS 2015Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone 2014Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropy 2007Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets 2014Leverage effect in energy futures 2010Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals

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Year2004

Typearticle

Published2004-11-08

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations172

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/j.physa.2004.09.035

openalex_workW2021458729

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