Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory

DOI10.1016/j.physa.2020.125603OpenAlexW3108962448MaRDI QIDQ2068436

Yi Luo, Liang Ding, Yirong Huang, Yan Lin

Publication date: 19 January 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2020.125603

zbMATH Keywords

stock marketHurst exponentfractional differencing parameterFELWR/S\_Com

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (1)

An entropy-based estimator of the Hurst exponent in fractional Brownian motion

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