Search Results - subject:"Hurst Exponent"

Characterization and prediction of the Ghana stock exchange composite index utilizing Bayesian stochastic volatility models

Tweneboah, Osei Kofi; Ohene-Obeng, Kwesi A.; Mariani, … - 2025

characterize the GSE-CI using advanced analytical tools such as the Hurst exponent and R/S analysis to uncover its fractal …

Persistent link: https://www.econbiz.de/10015331109

Using short time series of monofractal synthetic fluctuations to estimate the foreign exchange rate : the case of the US Dollar and the Chilean Peso (USD-CLP)

López, Juan L.; Morales-Salinas, David; Toral-Acosta, … - In: Economies : open access journal 12 (2024) 10, pp. 1-15

. Additionally, the daily fluctuations of the current exchange rate are characterized using the Hurst exponent, H, and later used to …

Persistent link: https://www.econbiz.de/10015197516

Application of Fractal Processes and Fractional Derivatives in Finance

Chan, Leung Lung (contributor) - 2024

In recent years, there has been a fast growth in the application of long-memory processes to underlying assets including stock, volatility index, exchange rate, etc. The fractional Brownian motion is the most popular of the long-memory processes and was introduced by Kolmogorov in 1940 and later...

Persistent link: https://www.econbiz.de/10015324975

Better not forget: On the memory of S&P 500 survivor stock companies

Grobys, Klaus; Han, Yao; Kolari, James W. - In: Journal of Risk and Financial Management 16 (2023) 2, pp. 1-16

This study explores the dependency structure of S&P 500 survivor stocks. Using a hand-collected sample of stocks that survived in the S&P 500 since March 1957, we employ rescaled/range analysis to investigate survivors. First, we find nonlinearities in the return processes of survivor stocks due...

Persistent link: https://www.econbiz.de/10014332873

Portfolio Optimization at Damascus Securities Exchange: A Fractal Analysis Approach

Dooba, Kinda; Mouselli, Sulaiman - In: Cogent Economics & Finance 11 (2023) 2, pp. 1-16

This paper adopts the fractal analysis approach, specifically a Hurst exponent index in portfolio optimization at the … investors consider the Hurst exponent index in their portfolio optimization for better investment decisions. …

Persistent link: https://www.econbiz.de/10015074726

Portfolio optimization at damascus securities exchange : a fractal analysis approach

Dooba, Kinda; Mouselli, Sulaiman - In: Cogent economics & finance 11 (2023) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10014500978

Is Bitcoin an emerging market? : a market efficiency perspective

Skwarek, Mateusz - In: Central European economic journal 10 (2023) 57, pp. 219-236

dynamics of market efficiency are measured using the Hurst exponent in the rolling window. The study uses daily data for the …

Persistent link: https://www.econbiz.de/10014444929

Cryptocurrencies and long-range trends

Alexiadou, Monica; Sofianos, Emmanouil; Gkonkas, Periklēs - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-17

In this study we investigate possible long-range trends in the cryptocurrency market. We employed the Hurst exponent in … a sample covering the period from 1 January 2016 to 26 March 2021. We calculated the Hurst exponent in three non …. The innovation of this research is that we employ the Hurst exponent to identify the long-range properties, a tool that is …

Persistent link: https://www.econbiz.de/10014279894

Measuring conditional correlation between financial markets' inefficiency

Di Sciorio, Fabrizio; Mattera, Raffaele; Trinidad … - In: Quantitative finance and economics 7 (2023) 3, pp. 491-507

Persistent link: https://www.econbiz.de/10015125319

Better not forget : on the memory of S&P 500 survivor stock companies

Grobys, Klaus; Han, Yao; Kolari, James W. - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10014305602

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