Temat: Hurst exponent - Prolib Integro

Skocz do pozycji: 1.

Tytuł:: Application of the Hurst coefficient, calculated with the use of the Siroky method on financial markets
Autorzy:: Borowski, Krzysztof
Matusewicz, Michał
Tematy:: Hurst exponent
market efficiency
developed countries; Pokaż więcej
Wydawca:: Szkoła Główna Handlowa w Warszawie. Kolegium Zarządzania i Finansów
Powiązania:: https://bibliotekanauki.pl/articles/18104690.pdf Link otwiera się w nowym oknie
Opis:: The paper analyses the Hurst exponents calculated with the use of the Siroky method in two time intervals of 625 and 1250 sessions for the group of 570 financial instruments (Warsaw Stock Exchange equities – 320, equity indexes – 7, commodities – 41, and FX market – 135). The study also covers an analysis of the normality of the distribution of logarithmic rates of return, and the verification of statistical hypotheses with the use of the following statistical tests: Jarque-Bera (JB), Shapiro-Wilk (SW), and d’Agostino-Pearson (DA). In the second part of the paper, the change of the Hurst coefficient over time was analysed, while in the third part two linear regressions of the form H(t) = a + m ∙ t were performed for each of the analysed assets, as well as the determination factor R2. This part of the study aims to answer the question whether the slope of the regression line has a positive or negative value and what the quality of such a fit is with the use of linear regression. Such an analysis enables to observe changes in the fractal dimension, and thus the risk in financial markets over a long period of time. The main conclusion that was drawn from the research may be formulated as follows: the value of the H exponents decreased in the analysed time windows, which means an increase in the fractal dimension (d), and thus the investment risk in financial markets. The obtained results can be used in the process of constructing an investment portfolio in financial markets. The research is part of the ongoing discussion on the effectiveness of financial markets.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: Calculating Hurst Exponent with the Use of the Siroky Method in Developed and Emerging Markets
Autorzy:: Borowski, Krzysztof
Matusewicz, Michał
Tematy:: Hurst exponent
market efficiency
developed countries; Pokaż więcej
Wydawca:: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Powiązania:: https://bibliotekanauki.pl/articles/1022839.pdf Link otwiera się w nowym oknie
Opis:: The purpose of the article This paper analysis Hurst exponents calculated with the use of the Siroky method in two time intervals of 625 (H625) and 1250 (H1260) sessions for the following assets: (the number of assets for a given group in brackets): Stock indices (74), currency pairs divided into segments: USD exchange rate in relation to 42 other currencies (USDXXX), EURO exchange rate in relation to 41 other currencies (EURXXX), JPY exchange rate in relation to 40 other currencies (JPYXXX) and other currency pairs (12). In total, 209 financial instruments were analyzed. Methodology: Hurst coefficient calculation with the use of the following methods; Siroky, Detrended Moving Average (DMA) and Detrended Fluctuation Analysis (DFA). Results of the research: The Hurst coefficient values calculated with the use of Siroky method are similar to the results obtained using DFA and DMA methods. The second main conclusion that was drawn from the research may be formulated as follows: exchange rates calculated for the developed-developed country currencies are more effective than in the case of the developed-emerging countries group.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 3.

Tytuł:: Classification of LPG clients using the Hurst exponent and the correlation coeficient
Autorzy:: Domino, K.
Głomb, P.
Łaskarzewski, Z.
Tematy:: building heating
Hurst exponent
LPG distribution; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Powiązania:: https://bibliotekanauki.pl/articles/375772.pdf Link otwiera się w nowym oknie
Opis:: In this paper we present the analysis of the gas usage for different types of buildings. First, we introduce the classical theory of building heating. This allows the establishment of theoretical relations between gas consumption time series and the outside air temperature for different types of buildings, residential and industrial. These relations imply dierent auto-correlations of gas usage time series as well as different cross-correlations between gas consumption and temperature time series for different types of buildings. Therefore, the autocorrelation and the cross-correlation were used to classify the buildings into three classes: housing, housing with high thermal capacity, and industry. The Hurst exponent was calculated using the global DFA to investigate auto-correlation, while the Kendall's τ rank coeficient was calculated to investigate cross-correlation.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 4.

Tytuł:: On the relationship between the Hurst exponent, the ratio of the mean square successive difference to the variance, and the number of turning points
Autorzy:: Tarnopolski, Mariusz
Dostawca treści:: Repozytorium Uniwersytetu Jagiellońskiego

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Skocz do pozycji: 5.

Tytuł:: The impact of estimation methods and data frequency on the results of long memory assessment
Autorzy:: Brania, K.
Gurgul, H.
Tematy:: stock returns
volatility
trading volume
Hurst exponent
long memory; Pokaż więcej
Wydawca:: Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
Powiązania:: https://bibliotekanauki.pl/articles/108396.pdf Link otwiera się w nowym oknie
Opis:: The main goal of this paper is to examine the effects of selected methods of estimation (the Geweke and Porter-Hudak, modified Geweke and Porter-Hudak, Whittle, R/S Rescaled Range Statistic, aggregated variance, aggregated absolute value, and Peng’s variance of residuals methods) and data frequency on properties of Hurst exponents for stock returns, volatility, and trading volumes of 43 companies and eight stock market indices. The calculations have been performed for a time series of log-returns, squared log-returns, and log-volume (based on hourly and daily data) by nine methods. Descriptive statistics and distribution laws of Hurst exponents depend on the method of estimation and, to some extent, on data frequency (daily and hourly). While by and large in log-returns no long memory has been detected, some estimation methods confirm the existence of long memory in squared log-returns. All of the applied estimation methods show long memory in log-volume data.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 6.

Tytuł:: Crops Diagnosis Using Hurst Exponent Values in Fields Image Analysis
Autorzy:: Lorencki, Jakub
Tulska, Ewa
Ekielski, Adam
Koronczok, Jerzy
Czech, Tomasz
Wydawca:: Dept. of Mach. Exploit. and Management of Prod. Processes, ULS in Lublin, Poland
Cytata wydawnicza:: Ekielski A., Koronczok J., Lorencki J., Czech T., Tulska E. 2017. Crops Diagnosis Using Hurst Exponent Values in Fields Image Analysis. [in:] Lorencowicz E. (ed.), Uziak J. (ed.), Huyghebaert B. (ed.). Farm Machinery and Processes Management in Sustainable Agriculture, 9th Int. Scient. Symp. ULS Lublin, p. 103-108
Opis:: One of the branches of sustainable agriculture is the precision farming which assumes an individual approach to each plant. The main problem encountered by the precision agriculture is to quickly acquire and analyze good quality data assessing the condition of the crop. One of the fastest growing monitoring techniques is the analysis of images obtained from cameras placed on UAV. The studies used the chaos tools to determine Hurst exponent values received from images collected during UAV flights over the fields. The obtained results of image analysis indicated the presence of a strong dependency between the Hurst exponent values and state of crops. Images showed crops which are in good standing have been seen as strong organize objects represented by the mean Hurst exponent values from 0.8 to 0.87. Crops in which occurred the destruction of plants on the collected images were estimated by the Hurst exponent between 0.41 and 0.49 values, which indicates the presence of the characteristics of chaotic changes in the distribution of color attributes.
Dostawca treści:: Repozytorium Centrum Otwartej Nauki

Inne

Książka

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Skocz do pozycji: 7.

Tytuł:: Correlation between the Hurst exponent and the maximal Lyapunov exponent : examining some low-dimensional conservative maps
Autorzy:: Tarnopolski, Mariusz
Dostawca treści:: Repozytorium Uniwersytetu Jagiellońskiego

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Skocz do pozycji: 8.

Tytuł:: Quantitative estimation of 3D cave networks complexity using random walk analysis
Autorzy:: Błachowicz, T.
Andreychouk, V.
Tematy:: speleomorphogenesis
cave networks
random walk
Hurst exponent
morphometric analysis; Pokaż więcej
Wydawca:: Stowarzyszenie Geomorfologów Polskich
Powiązania:: https://bibliotekanauki.pl/articles/294823.pdf Link otwiera się w nowym oknie
Opis:: The paper presents a new method of quantitative parameterization of volumetric-net geomorphological structures with the use of random walk formalism and an analysis of self-similarity exponent distribution derived from random walk experiments. As examples, two American three-dimensional Wind and Lechuguilla cave networks were elaborated. The provided methodology is able to uniquely characterize the morphology of cave systems.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 9.

Tytuł:: Analysis of the Aviation Safety Management System by Fractal and Statistical Tools
Autorzy:: Bugayko, Dmytro
Leshchynskyi, Oleg
Sokolova, Nataliya
Isaienko, Volodymyr
Zamiar, Zenon
Tematy:: aviation safety
data analysis
fractal-statistical analysis
the Hurst exponent; Pokaż więcej
Wydawca:: Międzynarodowa Wyższa Szkoła Logistyki i Transportu
Powiązania:: https://bibliotekanauki.pl/articles/504106.pdf Link otwiera się w nowym oknie
Opis:: World civil aviation is an open-source system that is affected by a large number of related and non-related factors. Aviation safety is one of the prioritized directions in the industry. Its managerial decision-making process is primarily based on a versatile analysis of security data in which the choice of the appropriate mathematical apparatus is fundamental. This article suggests applying fractal-statistical analysis to evaluate the aviation safety management system in terms of determining the random distribution of quantitative dynamics of aircraft crashes with lethal consequences in the period from 1946 to 2017. This allows us to verify the adequacy of probabilistic approaches appliance in analysing the dynamics of aviation disasters. The results of research carried out on the basis of the Hurst exponent have allowed us to conclude that the dynamics of aviation disasters is characterized by the effect of "spatial memory". In other words, these are "hidden laws", for which further investigation can become an effective tool for the development of proactive methods in managing aviation safety.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 10.

Tytuł:: Is Bitcoin an emerging market? A market efficiency perspective
Autorzy:: Skwarek, Mateusz
Tematy:: long-range dependence
bitcoin
market efficiency
emerging stock markets
Hurst exponent; Pokaż więcej
Wydawca:: Uniwersytet Warszawski. Wydział Nauk Ekonomicznych
Powiązania:: https://bibliotekanauki.pl/articles/22443141.pdf Link otwiera się w nowym oknie
Opis:: Despite recent studies focused on comparing the dynamics of market efficiency between Bitcoin and other traditional assets, there is a lack of knowledge about whether Bitcoin and emerging markets efficiency behave similarly. This paper aims to compare the market efficiency dynamics between Bitcoin and the emerging stock markets. In particular, this study indicates whether the dynamics of Bitcoin market efficiency mimic those of emerging stock markets. Thus, the paper’s contribution emerges from the combination of Bitcoin and emerging markets in the field of dynamics of market efficiency. The dynamics of market efficiency are measured using the Hurst exponent in the rolling window. The study uses daily data for the MSCI Emerging Markets Index and the Bitcoin market over the period 2011–2022. Our results show that there is at most a moderate correlation between the dynamics of Bitcoin and emerging stock markets’ efficiency over the entire study period. The strongest correlations occur mainly in periods of high economic policy uncertainty in the largest Bitcoin mining countries. Therefore, the association between Bitcoin market efficiency and emerging stock markets’ efficiency may strengthen with an increase in economic policy uncertainty. These findings may be useful for investors and portfolio managers in constructing better investment strategies.
Dostawca treści:: Biblioteka Nauki

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