On Hurst exponent estimation under heavy-tailed distributions

被引:212
作者
Barunik, Jozef [1 ]
Kristoufek, Ladislav
机构
[1] Acad Sci Czech Republ, Inst Informat Theory & Automat, CR-18208 Prague, Czech Republic
关键词
Hurst exponent; Heavy tails; High frequency data analysis;
D O I
10.1016/j.physa.2010.05.025
中图分类号
O4 [物理学];
学科分类号
0702 ;
摘要
In this paper, we show how the sampling properties of the Hurst exponent methods of estimation change with the presence of heavy tails. We run extensive Monte Carlo simulations to find out how rescaled range analysis (R/S), multifractal detrended fluctuation analysis (MF-DFA), detrending moving average (DMA) and generalized Hurst exponent approach (GHE) estimate Hurst exponent on independent series with different heavy tails. For this purpose, we generate independent random series from stable distribution with stability exponent alpha changing from 1.1 (heaviest tails) to 2 (Gaussian normal distribution) and we estimate the Hurst exponent using the different methods. R/S and GHE prove to be robust to heavy tails in the underlying process. GHE provides the lowest variance and bias in comparison to the other methods regardless the presence of heavy tails in data and sample size. Utilizing this result, we apply a novel approach of the intraday time-dependent Hurst exponent and we estimate the Hurst exponent on high frequency data for each trading day separately. We obtain Hurst exponents for S&P500 index for the period beginning with year 1983 and ending by November 2009 and we discuss the surprising result which uncovers how the market's behavior changed over this long period. (C) 2010 Elsevier B.V. All rights reserved.
引用
收藏
页码:3844 / 3855
页数:12
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