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The Effect of the Underlying Distribution in Hurst Exponent Estimation
In this paper, a heavy-tailed distribution approach is considered in order to explore the behavior of actual financial time series. We show that this kind of distribution allows to properly fit the empirical distribution of the stocks from S&P500 index. In addition to that, we explain in detail...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Public Library of Science
2015
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4447444/ https://www.ncbi.nlm.nih.gov/pubmed/26020942 http://dx.doi.org/10.1371/journal.pone.0127824 |