Hurst Exponent Analysis of Financial Time Series

被引：1

作者：

SANG Hong wei MA Tian WANG Shuo zhong School of Communication and Information Engineering Shanghai University Shanghai China ^{[200072
]}

机构：

来源：

JournalofShanghaiUniversity | 2001年 / 04期

关键词：

Hurst exponent; linear prediction error; financial time series;

D O I：

暂无

中图分类号：

F830 [金融、银行理论];

学科分类号：

1201 ; 020204 ;

摘要：

Statistical properties of stock market time series and the implication of their Hurst exponents are discussed. Hurst exponents of DJIA (Dow Jones Industrial Average) components are tested using re scaled range analysis. In addition to the original stock return series, the linear prediction errors of the daily returns are also tested. Numerical results show that the Hurst exponent analysis can provide some information about the statistical properties of the financial time series.

引用

页码：269 / 272

页数：4