Statistical properties of stock market time series and the implication of their Hurst exponents are discussed. Hurst exponents of DJIA (Dow Jones Industrial Average) components are tested using re scaled range analy...Statistical properties of stock market time series and the implication of their Hurst exponents are discussed. Hurst exponents of DJIA (Dow Jones Industrial Average) components are tested using re scaled range analysis. In addition to the original stock return series, the linear prediction errors of the daily returns are also tested. Numerical results show that the Hurst exponent analysis can provide some information about the statistical properties of the financial time series.展开更多
In this paper the decrease in the Hurst exponent of human gait with aging and neurodegenerative diseases was observed by using an improved rescaled range （R/S） analysis method. It indicates that the long-range corre...In this paper the decrease in the Hurst exponent of human gait with aging and neurodegenerative diseases was observed by using an improved rescaled range （R/S） analysis method. It indicates that the long-range correlations of gait rhythm from young healthy people are stronger than those from the healthy elderly and the diseased. The result further implies that fractal dynamics in human gait will be altered due to weakening or impairment of neural control on locomotion resulting from aging and neurodegenerative diseases. Due to analysing short-term data sequences rather than long datasets required by most nonlinear methods, the algorithm has the characteristics of simplicity and sensitivity, most importantly, fast calculation as well as powerful anti-noise capacities. These findings have implications for modelling locomotor control and also for quantifying gait dynamics in varying physiologic and pathologic states.展开更多
This research aims to improve the efficiency in estimating the Hurst exponent in financial time series.A new procedure is developed based on equality in distribution and is applicable to the estimation methods of the ...This research aims to improve the efficiency in estimating the Hurst exponent in financial time series.A new procedure is developed based on equality in distribution and is applicable to the estimation methods of the Hurst exponent.We show how to use this new procedure with three of the most popular algorithms(generalized Hurst exponet,total triangles area,and fractal dimension)in the literature.Findings show that this new approach improves the accuracy of the original methods,mainly for longer series.The second contribution of this study is that we show how to use this methodology to test whether the series is self-similar,constructing a confidence interval for the Hurst exponent for which the series satisfies this property.Finally,we present an empirical application of this new procedure to stocks of the S&P500 index.Similar to previous contributions,we consider this to be relevant to financial literature,as it helps to avoid inappropriate interpretations of market efficiency that can lead to erroneous decisions not only by market participants but also by policymakers.展开更多
Multifractal detrended fluctuation analysis （MF-DFA） is a relatively new method of multifractal analysis. It is extended from detrended fluctuation analysis （DFA）, which was developed for detecting the long-range ...Multifractal detrended fluctuation analysis （MF-DFA） is a relatively new method of multifractal analysis. It is extended from detrended fluctuation analysis （DFA）, which was developed for detecting the long-range correlation and the fractal properties in stationary and non-stationary time series. Although MF-DFA has become a widely used method, some relationships among the exponents established in the original paper seem to be incorrect under the general situation. In this paper, we theoretically and experimentally demonstrate the invalidity of the expression r（q） = qh（q） - 1 stipulating the relationship between the multifractal exponent T（q） and the generalized Hurst exponent h（q）. As a replacement, a general relationship is established on the basis of the universal multifractal formalism for the stationary series as .t-（q） = qh（q） - qH - 1, where H is the nonconservation parameter in the universal multifractal formalism. The singular spectra, a and f（a）, are also derived according to this new relationship.展开更多
传统的流型识别方法对流型的特征缺乏一个量化的评价标准,只能由识别者采用模糊的语言来描述特征,在很大程度上依赖于识别者的主观判断。为了克服传统流型识别方法的缺点,对水平管内气液两相流进行测量,得到了反映两相流波动特性的压差...传统的流型识别方法对流型的特征缺乏一个量化的评价标准,只能由识别者采用模糊的语言来描述特征,在很大程度上依赖于识别者的主观判断。为了克服传统流型识别方法的缺点,对水平管内气液两相流进行测量,得到了反映两相流波动特性的压差波动信号,采用 Hurst 分析描述了水平管内气液两相流不同流型的压差波动特征,发现压差波动信号中存在着不同程度的周期成分。通过对不同流型的压差波动信号的 Hurst 指数 H 进行计算,发现不同流型的 H 值有很大差别,可根据 Hurst 指数 H 值的大小来识别流型,从而为流型识别提供了一种有效方法。展开更多
文摘Statistical properties of stock market time series and the implication of their Hurst exponents are discussed. Hurst exponents of DJIA (Dow Jones Industrial Average) components are tested using re scaled range analysis. In addition to the original stock return series, the linear prediction errors of the daily returns are also tested. Numerical results show that the Hurst exponent analysis can provide some information about the statistical properties of the financial time series.
基金Project supported by the National Natural Science Foundation of China(Grant No60501003)
文摘In this paper the decrease in the Hurst exponent of human gait with aging and neurodegenerative diseases was observed by using an improved rescaled range （R/S） analysis method. It indicates that the long-range correlations of gait rhythm from young healthy people are stronger than those from the healthy elderly and the diseased. The result further implies that fractal dynamics in human gait will be altered due to weakening or impairment of neural control on locomotion resulting from aging and neurodegenerative diseases. Due to analysing short-term data sequences rather than long datasets required by most nonlinear methods, the algorithm has the characteristics of simplicity and sensitivity, most importantly, fast calculation as well as powerful anti-noise capacities. These findings have implications for modelling locomotor control and also for quantifying gait dynamics in varying physiologic and pathologic states.
基金supported by grants PGC2018-101555-B-I00(Ministerio Español de Ciencia,Innovación y Universidades and FEDER),PID2021-127836NB-I00(Ministerio Español de Ciencia e Innovación and FEDER)and UAL18-FQM-B038-A(UAL/CECEU/FEDER).
文摘This research aims to improve the efficiency in estimating the Hurst exponent in financial time series.A new procedure is developed based on equality in distribution and is applicable to the estimation methods of the Hurst exponent.We show how to use this new procedure with three of the most popular algorithms(generalized Hurst exponet,total triangles area,and fractal dimension)in the literature.Findings show that this new approach improves the accuracy of the original methods,mainly for longer series.The second contribution of this study is that we show how to use this methodology to test whether the series is self-similar,constructing a confidence interval for the Hurst exponent for which the series satisfies this property.Finally,we present an empirical application of this new procedure to stocks of the S&P500 index.Similar to previous contributions,we consider this to be relevant to financial literature,as it helps to avoid inappropriate interpretations of market efficiency that can lead to erroneous decisions not only by market participants but also by policymakers.
基金Project supported by the National Natural Science Foundation of China (Grant No.11071282)the Chinese Program for New Century Excellent Talents in University (Grant No.NCET-08-06867)
文摘Multifractal detrended fluctuation analysis （MF-DFA） is a relatively new method of multifractal analysis. It is extended from detrended fluctuation analysis （DFA）, which was developed for detecting the long-range correlation and the fractal properties in stationary and non-stationary time series. Although MF-DFA has become a widely used method, some relationships among the exponents established in the original paper seem to be incorrect under the general situation. In this paper, we theoretically and experimentally demonstrate the invalidity of the expression r（q） = qh（q） - 1 stipulating the relationship between the multifractal exponent T（q） and the generalized Hurst exponent h（q）. As a replacement, a general relationship is established on the basis of the universal multifractal formalism for the stationary series as .t-（q） = qh（q） - qH - 1, where H is the nonconservation parameter in the universal multifractal formalism. The singular spectra, a and f（a）, are also derived according to this new relationship.
文摘传统的流型识别方法对流型的特征缺乏一个量化的评价标准,只能由识别者采用模糊的语言来描述特征,在很大程度上依赖于识别者的主观判断。为了克服传统流型识别方法的缺点,对水平管内气液两相流进行测量,得到了反映两相流波动特性的压差波动信号,采用 Hurst 分析描述了水平管内气液两相流不同流型的压差波动特征,发现压差波动信号中存在着不同程度的周期成分。通过对不同流型的压差波动信号的 Hurst 指数 H 进行计算,发现不同流型的 H 值有很大差别,可根据 Hurst 指数 H 值的大小来识别流型,从而为流型识别提供了一种有效方法。
