Forecasting the Behavior of Fractal Time Series: Hurst Exponent as a Measure of Predictability

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60162694%3AG43__%2F16%3A00533929" target="_blank" >RIV/60162694:G43__/16:00533929 - isvavai.cz</a>
Result on the web
<a href="http://www.afahc.ro/ro/revista/2016_2/2.8-Kulish,Horak.pdf" target="_blank" >http://www.afahc.ro/ro/revista/2016_2/2.8-Kulish,Horak.pdf</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.19062/1842-9238.2016.14.2.8" target="_blank" >10.19062/1842-9238.2016.14.2.8</a>

Result language
angličtina
Original language name
Forecasting the Behavior of Fractal Time Series: Hurst Exponent as a Measure of Predictability
Original language description
The Hurst exponent (H) is a statistical measure used to classify time series. H = 0.5 indicates a random series while H > 0.5 indicates a trend reinforcing series. The larger the H value is the stronger trend. In this paper we investigate the use of the Hurst exponent to classify series of financial data representing different periods of time. In this paper we show that series with large values of the Hurst exponent can be predicted more accurately than those series with H value close to 0.5. Thus the Hurst exponent provides a measure for predictability.
Czech name
—
Czech description
—

Project
—
Continuities
S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Similar results(10)