Introducing fractal dimension algorithms to calculate the Hurst exponent of financial time series
In this paper, three new algorithms are introduced in order to explore long memory in financial time series. They are based on a new concept of fractal dimension of a curve. A mathematical support is provided for each algorithm and its accuracy is tested for different length time series by Monte Car...
| Main Authors: | , , |
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| Format: | info:eu-repo/semantics/article |
| Language: | English |
| Published: |
THE EUROPEAN PHYSICAL JOURNAL
2017
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| Online Access: | http://hdl.handle.net/10835/4866 |