Search Results - subject:"Hurst exponents"

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Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets

Bassler, Kevin E.; McCauley, Joseph L.; Gunaratne, Gemunu H. - Volkswirtschaftliche Fakultät, … - 2006

Arguably the most important problem in quantitative finance is to understand the nature of stochastic processes that underlie market dynamics. One aspect of the solution to this problem involves determining characteristics of the distribution of fluctuations in returns. Empirical studies...

Persistent link: https://www.econbiz.de/10005617008

Hurst exponents, Markov processes, and fractional Brownian motion

McCauley, Joseph L.; Gunaratne, Gemunu H.; Bassler, Kevin E. - Volkswirtschaftliche Fakultät, … - 2006

There is much confusion in the literature over Hurst exponents. Recently, we took a step in the direction of … a scaling Gaussian Markov process with H≠1/2 over a finite time interval. We conclude that both Hurst exponents and one …

Persistent link: https://www.econbiz.de/10005835781