Hurst Exponents For Short Time Series
classification
💱 q-fin.ST
cond-mat.dis-nnphysics.data-an
keywords
seriesdetectshortstocktimeartificialbalancedbreaks
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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.
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