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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Public Library of Science (PLoS)
2015-01-01
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| Series: | PLoS ONE |
| Online Access: | http://europepmc.org/articles/PMC4447444?pdf=render |