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- W1576174681 abstract "Statistical properties of stock market time series and the implication of their Hurst exponents are discussed. Hurst exponents of DJ1A (Dow Jones Industrial Average) components are tested using re-scaled range analysis. In addition to the original stock return series, the linear prediction errors of the daily returns are also tested. Numerical results show that the Hurst exponent analysis can provide some information about the statistical properties of the financial time series." @default.
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- W1576174681 title "Hurst Exponent Analysis of Financial Time Series" @default.
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