Hurst Exponent Estimation Based on Moving Average Method
In this paper, we introduce moving average method to estimate the Hurst exponent of the Hang Seng Index data for the 22-year period, from December 31, 1986, to June 6, 2008 in the Hongkong stock market, a total of 5315 trading days. Further, we present a detailed comparison between the regular rescaled range method and the moving average method. We find that the long-range correlations are present by both the new method and the regular method.
KeywordsHurst exponent Moving average method Time series analysis Rescaled range Long-range correlation
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