Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market by examining the statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which stands against the efficient market hypothesis (EMH)....

Successive random addition (SRA) is a popular and efficient algorithm for generating fractional Brownian motion (FBM). The difference of adjacent samples of FBM is called fractional Gaussian noise (FGN) and has a known self-similarity parameter H and power spectral density (PSD). For a FGN...

In this work, we analyze two important stochastic processes, the fractional Brownian motion and fractional Gaussian noise, within the framework of the Tsallis permutation entropy. This entropic measure, evaluated after using the Bandt & Pompe method to extract the associated probability...

We compare two different definitions for the wavelet entropy associated to stochastic processes. The first one, the normalized total wavelet entropy (NTWS) family [S. Blanco, A. Figliola, R.Q. Quiroga, O.A. Rosso, E. Serrano, Time–frequency analysis of electroencephalogram series, III. Wavelet...

The detection of long range dependence (LRD) is an important task in time series analysis. LRD is often summarized by the well-known Hurst parameter (or exponent) H∈[0,1], which can be estimated by a number of methods. Some of these techniques are designed to be applied to signals behaving as...