Search Results - subject:"Hurst analysis"

Hurst analysis of electricity price dynamics

Weron, Rafal; Przybylowicz, Beata - Hugo Steinhaus Center for Stochastic Methods, … - 2000

The price of electricity is extremely volatile, because electric power cannot be economically stored, end user demand is largely weather dependent, and the reliability of the grid is paramount. However, underlying the process of price returns is a strong mean-reverting mechanism. We study this...

Persistent link: https://www.econbiz.de/10009003601

Long correlations and Levy models applied to the study of memory effects in high frequency (tick) data

Mariani, M.C.; Florescu, I.; Beccar Varela, M.P.; … - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 8, pp. 1659-1664

This work is devoted to the study of long correlations, memory effects and other statistical properties of high frequency (tick) data. We use a sample of 25 stocks for this purpose.

Persistent link: https://www.econbiz.de/10010588912

Long-term correlation in single calcium-activated potassium channel kinetics

Campos de Oliveira, R.A.; Barbosa, C.T.F.; Consoni, L.H.A. - In: Physica A: Statistical Mechanics and its Applications 364 (2006) C, pp. 13-22

successive openings and closings, which are correlated in time. Here the rescaled range analysis (R/S Hurst analysis) is used to …

Persistent link: https://www.econbiz.de/10011057354

Hurst analysis of electricity price dynamics

Weron, Rafal; Przybyłowicz, Beata - In: Physica A: Statistical Mechanics and its Applications 283 (2000) 3, pp. 462-468

Persistent link: https://www.econbiz.de/10011063458