A comment on measuring the Hurst exponent of financial time series
Year of publication: |
2005
|
---|---|
Authors: | Couillard, Michel ; Davison, Matt |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 348.2005, C, p. 404-418
|
Publisher: |
Elsevier |
Subject: | Econophysics | Hurst exponent | R/S analysis | Efficient market hypothesis |
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