Run length statistics and the hurst exponent in random and birth-death random walks

Charles S. Tapiero; Pierre Vallois

doi:10.1016/0960-0779(96)00032-X

Run length statistics and the hurst exponent in random and birth-death random walks

Charles S. Tapiero, Pierre Vallois

Finance and Risk Engineering

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Abstract

This paper considers a modified and parametric Hurst exponent using fixed amplitudes and sampling intervals given by run length statistics. Such an approach allows us to calculate a modified and theoretical Hurst exponent based on run length statistics. We then calculate the Hurst exponent for the Wiener process, its discrete time equivalent as well as a birth-death random walk.

Original language	English (US)
Pages (from-to)	1333-1341
Number of pages	9
Journal	Chaos, Solitons and Fractals
Volume	7
Issue number	9
DOIs	https://doi.org/10.1016/0960-0779(96)00032-X
State	Published - Sep 1996

ASJC Scopus subject areas

Statistical and Nonlinear Physics
Mathematics(all)
Physics and Astronomy(all)
Applied Mathematics

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10.1016/0960-0779(96)00032-X

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abstract = "This paper considers a modified and parametric Hurst exponent using fixed amplitudes and sampling intervals given by run length statistics. Such an approach allows us to calculate a modified and theoretical Hurst exponent based on run length statistics. We then calculate the Hurst exponent for the Wiener process, its discrete time equivalent as well as a birth-death random walk.",

author = "Tapiero, {Charles S.} and Pierre Vallois",

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Run length statistics and the hurst exponent in random and birth-death random walks

Abstract

ASJC Scopus subject areas

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