Can one make any crash prediction in finance using the local Hurst exponent idea?
نویسندگان
چکیده
منابع مشابه
N ov 2 00 3 Can One Make Any Crash Prediction in Finance Using the Local Hurst Exponent Idea ?
We apply the Hurst exponent idea for investigation of DJIA index time-series data. The behavior of the local Hurst exponent prior to drastic changes in financial series signal is analyzed. The optimal length of the time-window over which this exponent can be calculated in order to make some meaningful predictions is discussed. Our prediction hypothesis is verified with examples of '29 and '87 c...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2004
ISSN: 0378-4371
DOI: 10.1016/j.physa.2004.01.018