Hurst Exponent and its Applications in Time-series Analysis

Author(s): Marina Resta

Journal Name: Recent Patents on Computer Science
Continued as Recent Advances in Computer Science and Communications

Volume 5 , Issue 3 , 2012


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.

Keywords: Hurst Exponent, long-range dependence, time-series analysis, METHODS OF COMPUTATION, Joseph Effect, XOM, GE and XOM, cumulative standardized, MSFT stock, aggregate variance

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Article Details

Year: 2012
Published on: 03 December, 2012
Page: [211 - 219]
Pages: 9
DOI: 10.2174/2213275911205030211
Price: $58

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