Estimating the Hurst Eponent (赫斯特指数）

2014-06-13 22:02:00

Estimating the Hurst Exponent

Contents

Why is the Hurst Exponent Interesting Random Walks and Long Memory The Hurst Exponent and Fractional Brownian Motion The Hurst Exponent and Finance The Hurst Exponent, Long Memory Processes and Power Laws So who is this guy Hurst? The Hurst Exponent, Wavelets and the Rescaled Range Calculation Understanding the Rescaled Range (R/S) Calculation Reservoir Modeling Estimating the Hurst Exponent from the Rescaled Range Basic Variations on the Rescaled Range Algorithm Applying the R/S Calculation to Financial Data Estimating the Hurst Exponent using Wavelet Spectral Density Wavelet Packets Other Paths Not Taken Retrospective: the Hurst Exponent and Financial Time Series C++ Software Source Books Web References Related Web pages on www.bearcave.com Acknowledgments
金融工程, 数学算法, hurst, exponent

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