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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Published on: 03 December, 2012
Page: [211 - 219]