Title:Hurst Exponent and its Applications in Time-series Analysis
VOLUME: 5 ISSUE: 3
Author(s):Marina Resta
Affiliation:School of Economics, University of Genova, P.O. Box 16126, Via Vivaldi 5, Genova, Italy.
Keywords:Hurst Exponent, long-range dependence, time-series analysis, METHODS OF COMPUTATION, Joseph Effect, XOM, GE and XOM, cumulative standardized, MSFT stock, aggregate variance
Abstract:The Hurst exponent is an index of fundamental importance in the analysis of the long range dependence features
of observable time-series. As such, it has been estimated and analyzed in an astonishing number of physical systems.
Over the time, various estimation methods as well as generalizations have been suggested and discussed: we therein judge
straightforward to review the most important ones. In addition, we offer some insights on recent literature evolution and
on patents that address practical implementation of the Hurst exponent.
