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Introducing Hurst exponent in pair trading · Study

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ArticleIntroducing Hurst exponent in pair trading

José Pedro Ramos-Requena2017

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Articlegreen2017

Introducing Hurst exponent in pair trading

José Pedro Ramos-Requena · Juan Evangelista Trinidad Segovia · Miguel Ángel Sánchez-Granero

60 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 Stock Market Forecasting Methods

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 2002Multifractal detrended fluctuation analysis of nonstationary time series 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1999Introduction to Econophysics 1995Scaling behaviour in the dynamics of an economic index 1991Long-Term Memory in Stock Market Prices 1989Long-term Memory in Stock Market Prices 1995ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY

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Year2017

Typearticle

Published2017-07-12

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations60

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/j.physa.2017.06.032

openalex_workW2735016445

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