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Estimating the self-similar exponent of broad-sense self-similar processes

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  • Zheng, Jing
  • Zhang, Guijun
  • Tong, Changqing

Abstract

In this paper, a new algorithm about the self-similar exponent of self-similar processes is introduced which is used to explore long memory in financial time series. This method can work for more general broad-sense self-similar processes. We prove that this algorithm performs much better than the classical methods.

Suggested Citation

  • Zheng, Jing & Zhang, Guijun & Tong, Changqing, 2016. "Estimating the self-similar exponent of broad-sense self-similar processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 654-659.
    • Handle: RePEc:eee:phsmap:v:444:y:2016:i:c:p:654-659
    DOI: 10.1016/j.physa.2015.10.074
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    References listed on IDEAS

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    1. Sánchez Granero, M.A. & Trinidad Segovia, J.E. & García Pérez, J., 2008. "Some comments on Hurst exponent and the long memory processes on capital markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(22), pages 5543-5551.
    2. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
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