Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 17 of 17 for “"Hurst Exponent"”.
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Memory Vs Momentum - Exploring Momentum Strategies With The Hurst Exponent
… the Efficient Market Hypothesis, we employ the Hurst exponent to detect the long-term memory existed in the stock return series. A time series with 0 < H < 0.5 shows negative correlations between points and a mean-reverting behavior, while a series with 0.5 < H < 1 indicates positive …
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A Measure of the Hurst Exponent Variability on Ground Based Magnetometer Data for Quiet and Active Magnetospheric Periods
… approach was used to identify differences in the Hurst exponent of quiet and active events. No statistical differences were found using this approach since both types of events displayed quasirandom walk behavior. A second approach determined the temporal variations in the Hurst exponent for each …
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Bayesian estimation of self-similarity exponent
Estimation of the self-similarity exponent has attracted growing interest in recent decades and became a research subject in various fields and disciplines. Real-world data exhibiting self-similar behavior and/or parametrized by self-similarity exponent (in particular Hurst exponent) have been …
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Sparse functional regression models: minimax rates and contamination
… function, which is quantified by a "generalized Hurst exponent". The least squares estimator (LSE) is shown to attain the optimal rate. Also, a lower bound is given on the minimax risk of estimating the parameters in sparse functional GLM, which also depends on the generalized Hurst exponent of …
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Analysis of Ergonomics and Highly Non-linear Dynamics of Surgical Motions and Muscle Activations in Minimally Invasive Surgery
… application of complexity theory (time delay and Hurst exponent principles) to the analysis of phase space reconstructions of time series data, generated by periodic changes in Euler coordinates of surgical graspers while being used by MIS novices and experts. A comparison of Hurst exponent and …
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Numerical and Experimental Study of Rock Fracture Creep Under Dry Conditions
… generated based on Brown’s (1995) model: the Hurst exponent, root mean square roughness, and mismatch length were varied systematically. Then, an in-house numerical code was developed to simulate the visco-elastic deformation of rough fractures. The results indicate that by increasing the …
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The evolution and dynamics of stocks on the Johannesburg Securities Exchange and their implications for equity investment management
… analysis technique, a method for estimating the Hurst exponent, to examine the JSE indices. The results suggest that the JSE is fractal in nature, implying a long-term predictability property. The results also indicate a logical system of variation of the Hurst exponent by firm size, market …
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Use of Statistical Mechanics Methods to Assess the Effects of Localized muscle fatigue on Stability during Upright Stance
… in particular the stabilogram diffusion and Hurst exponent methods. An existing dataset was employed, in which sway during quiet stance was measured under different visual and surface compliance conditions, among both genders and different age groups, as well as before and after induction of …
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Application of Wavelets to Filtering and Analysis of Self-Similar Signals
… units of the signal being investigated for low Hurst exponent and on the type of edge padding being used for high Hurst exponent.
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FRACTAL BASED FRAMEWORK FOR TIME SERIES VOLATILITY PREDICTION
… market environment. Fractal mathematics with the Hurst exponent close to zero reflecting rough market conditions and fuzzy set theory are combined with jumps, representing sudden market changes to capture more realistic asset price movements. The gap between complex stochastic equations and …
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GNSS pre-correlation waveform feature extraction methods for multipath-afflicted signal classification
… waveforms. Namely, the methods of Generalized Hurst Exponent, Detrended Fluctuation Analysis, Correlation Dimension, Fuzzy Entropy and Recurrence Period Density Entropy were proposed and tested in numerical simulations implemented in MATLAB. For testing and simulation purposes, the GPS L1 C/A …
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Anomalous statistical properties and fluctuations on multiple timescales
… A previously proposed framework decomposes the Hurst exponent into the Joseph, Noah, and Moses effects. They represent violations of the three premises of the central limit theorem. Here the framework is applied to an intermittent deterministic system, which exhibits a rich combination of all …
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Fractal and Multifractal Analysis of Runoff Time Series and Stream Networks in Agricultural Watersheds
… determined for the runoff series were the Hurst exponent obtained by rescaled range (R/S) analysis, the fractal dimension estimated by the shifted box-counting method, and the multifractal scaling function parameters (a and C1) of the Universal Multifractal Model (UMM). Corresponding …
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Performance assessment of multivariate control systems
… potential uses. Also herein, the use of the Hurst exponent as a tuning diagnosis measure is proposed, as well as retuning algorithms that can incorporate a wide variety of existing tuning diagnosis measures in order to make retuning decisions. With respect to valve stiction, new theoretical …
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Disentangling neural heterogeneity in autism
… (EEG) data. Specifically, the Hurst exponent (H) – a metric that has been shown to be affected by changes in excitatory input – was computed on EEG time-series data, obtained in two resting state conditions of eyes open and closed. H-based clustering revealed two E:I-based …
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Complexity in physical, living and mathematical systems
… algorithm stands as a new method to estimate the Hurst exponent of fractal series (namely fractional Brownian motion and /_/3 noises). Both numerical simulations and analytical developments are outlined, as well as some applications to real time series. We finally provide a concluding chapter that …
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Market Efficiency of African Stock Markets
… range analysis (R/S) in the estimation of Hurst exponent. Second, the researcher examined whether the markets were predictable under the Adaptive Market Hypothesis (AMH). The researcher employed the Generalised Spectral (GS) test to examine the Martingale difference hypothesis (MDH) of the …