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Preprint . 2012
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Hurst exponents for short time series

descriptionPublicationkeyboard_double_arrow_right Article , Preprint 19 Dec 2011Embargo end date: 01 Jan 2012 English Publisher:American Physical Society (APS)Journal:Physical Review E, volume 84 (issn: 1539-3755, eissn: 1550-2376, Copyright policy )
Authors: Jingzhao Qi; Huijie Yang;

doi: 10.1103/physreve.84.066114 , 10.48550/arxiv.1211.2862

pmid: 22304162

arXiv: 1211.2862

Hurst exponents for short time series

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.

6 pages, 4 figures

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Keywords

FOS: Economics and business, Statistical Finance (q-fin.ST), Physics - Data Analysis, Statistics and Probability, Quantitative Finance - Statistical Finance, FOS: Physical sciences, Disordered Systems and Neural Networks (cond-mat.dis-nn), Condensed Matter - Disordered Systems and Neural Networks, Data Analysis, Statistics and Probability (physics.data-an)

  • BIP!
    Impact byBIP!
    selected citations
    These citations are derived from selected sources.
    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 23
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    		 Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 Top 10%
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    		 Average
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
23
Top 10%
Top 10%
Average
Green
bronze