Search Results - subject:"rescaled range analysis"

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-overlapping consecutive windows and in the whole sample. Using...

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

Odhad Hurstova exponentu v časových řadách denních výnosů akciových indexů

Srbek, Pavel - In: Politická ekonomie : teorie, modelování, aplikace 66 (2018) 4, pp. 508-524

Persistent link: https://www.econbiz.de/10011933858

On long memory behaviour and predictability of financial markets

Vo, Long H.; Roberts, Leigh - School of Economics and Finance, Victoria Business School - 2014

An immediate consequence of the Efficient Market Hypothesis (EMH) is the absence of auto-correlation of the return series of the financial prices and the exclusion of excess profitability made by any (active) trading strategy. However, the precondition for the validity of EMH, which assumes that...

Persistent link: https://www.econbiz.de/10010860335

Wpływ kryzysu finansowego na oszacowania wykładnika Hursta - analiza fraktalna cen wybranych metali

Buła, Rafał - Volkswirtschaftliche Fakultät, … - 2012

The main purpose of this article is to prove that prices of selected metals quoted at London Metal Exchange could be described as biased random walks. In this paper hypothesis of black noise character of returns is verified (sequences are observed more frequently than reversals). Exploiting...

Persistent link: https://www.econbiz.de/10011107319

Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals

Krištoufek, Ladislav - In: Czech Economic Review 4 (2010) 3, pp. 315-329

We focus on finite sample properties of two mostly used methods of Hurst exponent H estimation—rescaled range analysis …

Persistent link: https://www.econbiz.de/10008727382

R/S analysis and DFA: finite sample properties and confidence intervals

Kristoufek, Ladislav - Volkswirtschaftliche Fakultät, … - 2009

We focus on finite sample properties of two mostly used methods of Hurst exponent H estimation – R/S analysis and DFA. Even though both methods have been widely applied on different types of financial assets, only several papers have dealt with finite sample properties which are crucial as the...

Persistent link: https://www.econbiz.de/10005014955

Long Memory in the Australian Stock Market

Kang, Sang-Hoon; Nguyen, Hoa - Deakin University, Faculty of Business and Law, School … - 2007

In this paper, we re-examine the evidence of long memory in the Australian stock market. Using the rescaled range … analysis, we find evidence of long memory and non-periodic cycles in the All Ordinaries Index. The result suggests that long … memory in the Australian stock market. Using the rescaled range analysis, we find evidence of long memory and non …

Persistent link: https://www.econbiz.de/10005187586