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Some comments on Hurst exponent and the long memory processes on capital markets

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  1. Zhang, Zilong & Chen, Xingpeng & Heck, Peter & Xue, Bing & Liu, Ye, 2015. "Empirical study on the environmental pressure versus economic growth in China during 1991–2012," Resources, Conservation & Recycling, Elsevier, vol. 101(C), pages 182-193.
  2. Massimiliano Giacalone & Demetrio Panarello, 2022. "A Nonparametric Approach for Testing Long Memory in Stock Returns’ Higher Moments," Mathematics, MDPI, vol. 10(5), pages 1-21, February.
  3. Aijun Guo & Yongnian Zhang & Fanglei Zhong & Daiwei Jiang, 2020. "Spatiotemporal Patterns of Ecosystem Service Value Changes and Their Coordination with Economic Development: A Case Study of the Yellow River Basin, China," IJERPH, MDPI, vol. 17(22), pages 1-17, November.
  4. Miguel Ángel Sánchez & Juan E Trinidad & José García & Manuel Fernández, 2015. "The Effect of the Underlying Distribution in Hurst Exponent Estimation," PLOS ONE, Public Library of Science, vol. 10(5), pages 1-17, May.
  5. Qian Wang & Yangyang Liu & Linjing Tong & Weihong Zhou & Xiaoyu Li & Jianlong Li, 2018. "Rescaled Statistics and Wavelet Analysis on Agricultural Drought Disaster Periodic Fluctuations in China from 1950 to 2016," Sustainability, MDPI, vol. 10(9), pages 1-12, September.
  6. Hans B Sieburg & Giulio Cattarossi & Christa E Muller-Sieburg, 2013. "Lifespan Differences in Hematopoietic Stem Cells are Due to Imperfect Repair and Unstable Mean-Reversion," PLOS Computational Biology, Public Library of Science, vol. 9(4), pages 1-15, April.
  7. Tan, Pei P. & Galagedera, Don U.A. & Maharaj, Elizabeth A., 2012. "A wavelet based investigation of long memory in stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(7), pages 2330-2341.
  8. Rami Ahmad El-Nabulsi & Waranont Anukool, 2025. "Qualitative financial modelling in fractal dimensions," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-47, December.
  9. Paolo Angelis & Roberto Marchis & Mario Marino & Antonio Luciano Martire & Immacolata Oliva, 2021. "Betting on bitcoin: a profitable trading between directional and shielding strategies," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 883-903, December.
  10. Zilong Zhang & Bing Xue & Jiaxing Pang & Xingpeng Chen, 2016. "The Decoupling of Resource Consumption and Environmental Impact from Economic Growth in China: Spatial Pattern and Temporal Trend," Sustainability, MDPI, vol. 8(3), pages 1-13, February.
  11. Ramos-Requena, J.P. & Trinidad-Segovia, J.E. & Sánchez-Granero, M.A., 2017. "Introducing Hurst exponent in pair trading," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 488(C), pages 39-45.
  12. Benjamin R Auer, 2016. "Pure return persistence, Hurst exponents and hedge fund selection – A practical note," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 319-330, September.
  13. Zhou, Weijie & Dang, Yaoguo & Gu, Rongbao, 2013. "Efficiency and multifractality analysis of CSI 300 based on multifractal detrending moving average algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1429-1438.
  14. 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.
  15. Chafi, Mohammadreza Shafiee & Narm, Hossein Gholizade & Kalat, Ali Akbarzadeh, 2023. "Chaotic and stochastic evaluation in Fluxgate magnetic sensors," Chaos, Solitons & Fractals, Elsevier, vol. 176(C).
  16. Juan Benjamín Duarte Duarte & Juan Manuel Mascare?nas Pérez-Iñigo, 2014. "Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos," Estudios Gerenciales, Universidad Icesi, November.
  17. Yuhang Wang & Muyi Kang & Mingfei Zhao & Kaixiong Xing & Guoyi Wang & Feng Xue, 2017. "The Spatiotemporal Variation of Tree Cover in the Loess Plateau of China after the ‘Grain for Green’ Project," Sustainability, MDPI, vol. 9(5), pages 1-15, May.
  18. Peng Shi & Miao Wu & Simin Qu & Peng Jiang & Xueyuan Qiao & Xi Chen & Mi Zhou & Zhicai Zhang, 2015. "Spatial Distribution and Temporal Trends in Precipitation Concentration Indices for the Southwest China," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 29(11), pages 3941-3955, September.
  19. Majumder, Debasish, 2012. "When the market becomes inefficient: Comparing BRIC markets with markets in the USA," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 84-92.
  20. José Pedro Ramos-Requena & Juan Evangelista Trinidad-Segovia & Miguel Ángel Sánchez-Granero, 2020. "An Alternative Approach to Measure Co-Movement between Two Time Series," Mathematics, MDPI, vol. 8(2), pages 1-24, February.
  21. Benjamin Rainer Auer, 2018. "Are standard asset pricing factors long-range dependent?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 66-88, January.
  22. Matthieu Garcin, 2021. "Forecasting with fractional Brownian motion: a financial perspective," Papers 2105.09140, arXiv.org, revised Sep 2021.
  23. Panagiotis Delis & Stavros Degiannakis & Konstantinos Giannopoulos, 2023. "What Should be Taken into Consideration when Forecasting Oil Implied Volatility Index?," The Energy Journal, , vol. 44(5), pages 231-250, September.
  24. Vitanov, Nikolay K. & Hoffmann, Norbert P. & Wernitz, Boris, 2014. "Nonlinear time series analysis of vibration data from a friction brake: SSA, PCA, and MFDFA," Chaos, Solitons & Fractals, Elsevier, vol. 69(C), pages 90-99.
  25. Vasile Brătian & Ana-Maria Acu & Camelia Oprean-Stan & Emil Dinga & Gabriela-Mariana Ionescu, 2021. "Efficient or Fractal Market Hypothesis? A Stock Indexes Modelling Using Geometric Brownian Motion and Geometric Fractional Brownian Motion," Mathematics, MDPI, vol. 9(22), pages 1-20, November.
  26. Fernández-Martínez, M. & Sánchez-Granero, M.A. & Trinidad Segovia, J.E., 2013. "Measuring the self-similarity exponent in Lévy stable processes of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5330-5345.
  27. Trinidad Segovia, J.E. & Fernández-Martínez, M. & Sánchez-Granero, M.A., 2012. "A note on geometric method-based procedures to calculate the Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(6), pages 2209-2214.
  28. Li, Sijia & Wang, Jinman & Zhang, Min & Tang, Qian, 2021. "Characterizing and attributing the vegetation coverage changes in North Shanxi coal base of China from 1987 to 2020," Resources Policy, Elsevier, vol. 74(C).
  29. Liu, Jian & Cheng, Cheng & Yang, Xianglin & Yan, Lizhao & Lai, Yongzeng, 2019. "Analysis of the efficiency of Hong Kong REITs market based on Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
  30. Owczarczuk, Marcin, 2012. "Long memory in patterns of mobile phone usage," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1428-1433.
  31. Gómez-Águila, A. & Sánchez-Granero, M.A., 2021. "A theoretical framework for the TTA algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
  32. Juan Benjamín Duarte Duarte & Juan Manuel Mascareñas Pérez-Iñigo, 2014. "¿Han sido los mercados bursátiles eficientes informacionalmente?," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia, June.
  33. Anagnostidis, P. & Varsakelis, C. & Emmanouilides, C.J., 2016. "Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 116-128.
  34. Matthieu Garcin, 2021. "Forecasting with fractional Brownian motion: a financial perspective," Working Papers hal-03230167, HAL.
  35. Auer, Benjamin R., 2016. "On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations," Finance Research Letters, Elsevier, vol. 16(C), pages 255-267.
  36. López-García, M.N. & Trinidad-Segovia, J.E. & Sánchez-Granero, M.A. & Pouchkarev, I., 2021. "Extending the Fama and French model with a long term memory factor," European Journal of Operational Research, Elsevier, vol. 291(2), pages 421-426.
  37. V Dimitrova & M Fernández-Martínez & M A Sánchez-Granero & J E Trinidad Segovia, 2019. "Some comments on Bitcoin market (in)efficiency," PLOS ONE, Public Library of Science, vol. 14(7), pages 1-14, July.
  38. Venelina Nikolova & Juan E. Trinidad Segovia & Manuel Fernández-Martínez & Miguel Angel Sánchez-Granero, 2020. "A Novel Methodology to Calculate the Probability of Volatility Clusters in Financial Series: An Application to Cryptocurrency Markets," Mathematics, MDPI, vol. 8(8), pages 1-15, July.
  39. Auer, Benjamin R., 2016. "On time-varying predictability of emerging stock market returns," Emerging Markets Review, Elsevier, vol. 27(C), pages 1-13.
  40. Wang, Xuerui & Li, Xiangyu & Li, Shaoting, 2022. "Point and interval forecasting system for crude oil price based on complete ensemble extreme-point symmetric mode decomposition with adaptive noise and intelligent optimization algorithm," Applied Energy, Elsevier, vol. 328(C).
  41. Mariusz Tarnopolski, 2017. "Modeling the price of Bitcoin with geometric fractional Brownian motion: a Monte Carlo approach," Papers 1707.03746, arXiv.org, revised Aug 2017.
  42. M. Fern'andez-Mart'inez & M. A S'anchez-Granero & Mar'ia Jos'e Mu~noz Torrecillas & Bill McKelvey, 2016. "A comparison among some Hurst exponent approaches to predict nascent bubbles in $500$ company stocks," Papers 1601.04188, arXiv.org.
  43. Doucoure, Boubacar & Agbossou, Kodjo & Cardenas, Alben, 2016. "Time series prediction using artificial wavelet neural network and multi-resolution analysis: Application to wind speed data," Renewable Energy, Elsevier, vol. 92(C), pages 202-211.
  44. Rodríguez-Aguilar, Román & Cruz-Aké, Salvador & Venegas-Martínez, Francisco, 2014. "A Measure of Early Warning of Exchange-Rate Crises Based on the Hurst Coefficient and the Αlpha-Stable Parameter," MPRA Paper 59046, University Library of Munich, Germany.
  45. Majumder, Debasish, 2014. "Asset pricing for inefficient markets: Evidence from China and India," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 282-291.
  46. Martín-Montoya, L.A. & Aranda-Camacho, N.M. & Quimbay, C.J., 2015. "Long-range correlations and trends in Colombian seismic time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 124-133.
  47. João A. Bastos & Jorge Caiado, 2021. "On the classification of financial data with domain agnostic features," Working Papers REM 2021/0185, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  48. A. Gómez-Águila & J. E. Trinidad-Segovia & M. A. Sánchez-Granero, 2022. "Improvement in Hurst exponent estimation and its application to financial markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-21, December.
  49. Li, Ruixue & Wang, Jiang & Chen, Yingyuan, 2018. "Effect of the signal filtering on detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 446-453.
  50. Trinidad Segovia, J.E. & Fernández-Martínez, M. & Sánchez-Granero, M.A., 2019. "A novel approach to detect volatility clusters in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
  51. Auer, Benjamin R. & Hoffmann, Andreas, 2016. "Do carry trade returns show signs of long memory?," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 201-208.
  52. Agnieszka Kapecka, 2013. "Fractal Analysis of Financial Time Series Using Fractal Dimension and Pointwise Hölder Exponents," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 13, pages 107-126.
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