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Hurst Exponents For Short Time Series

Published 13 Nov 2012 in q-fin.ST, cond-mat.dis-nn, and physics.data-an | (1211.2862v1)

Abstract: A new concept, called balanced estimator of diffusion entropy, is proposed to detect scalings in short time series. The effectiveness of the method is verified by means of a large number of artificial fractional Brownian motions. It is used also to detect scaling properties and structural breaks in stock price series of Shanghai Stock market.

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Authors (2)

  1. Jingzhao Qi 
  2. Huijie Yang 

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