Hurst Exponents For Short Time Series

Abstract

A new concept, called balanced estimator of diffusion entropy, is proposed to detect scalings in short time series. The effectiveness of the method is verified by means of a large number of artificial fractional Brownian motions. It is used also to detect scaling properties and structural breaks in stock price series of Shanghai Stock market.

6 pages, 4 figures

References in corpus (1)

• Entropy estimates of small data sets

Cited by in corpus (1)

• Evaluation of Scale-Invariance In Physiological Signals By Means Of Balanced Estimation Of Diffusion Entropy