Abstract
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.
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Wang, N., Li, Y., Zhang, H. (2010). Hurst Exponent Estimation Based on Moving Average Method. In: Luo, Q. (eds) Advances in Wireless Networks and Information Systems. Lecture Notes in Electrical Engineering, vol 72. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-14350-2_17
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DOI: https://doi.org/10.1007/978-3-642-14350-2_17
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-14349-6
Online ISBN: 978-3-642-14350-2
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