| Hurst Exponent Analysis of Financial Time Series |
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| 作者姓名： | SANGHong－wei MATian |
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| 作者单位： | SchoolofCommunicationandInformationEngineering,ShanghaiUniversity,Shanghai200072,China |
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| 摘 要： | Statistical properties of stock market time series and the implication of their Hurst exponents are discussed.Hurst exponets of HJIA (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.
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| 关 键 词： | 金融市场 财政时间序列 财政信息处理 投资 |
| 收稿时间： | 4 December 2000 |
Hurst exponent analysis of financial time series |
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| Hong-wei SANG Ph. D. Candidate,Tian Ma,Shuo-zhong Wang.Hurst Exponent Analysis of Financial Time Series[J].Journal of Shanghai University(English Edition),2001,5(4):269-272. |
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| Authors: | Hong-wei SANG Ph D Candidate Tian Ma Shuo-zhong Wang |
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| Institution: | School of Communication and Information Engineering, Shanghai University, Shanghai 200072, China |
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| Abstract: | 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. |
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| Keywords: | Hurst exponent linear prediction error financial time series |
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