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searching for Hurst exponent 3 found (24 total)

Stochastic volatility (2,444 words) [view diff] exact match in snippet view article find links to article

found that log-volatility behaves as a fractional Brownian motion with Hurst exponent of order H = 0.1 {\displaystyle H=0.1} , at any reasonable timescale

Jackson Pollock (8,204 words) [view diff] case mismatch in snippet view article find links to article

Rodriguez "Performance of a High-Dimensional R/S Analysis Method for Hurst Exponent Estimation", Physica A, vol. 387, 6452–6462 (2008). J. Coddington, J

Fractal expressionism (2,487 words) [view diff] case mismatch in snippet view article find links to article

Rodriguez “Performance of a High-Dimensional R/S Analysis Method for Hurst Exponent Estimation” Physica A, vol. 387, 6452-6462 (2008). J. Coddington, J