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Hurst Exponent Estimation

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Hurst Exponent Estimation

by Vilen Abramov

 

15 Nov 2012

the code uses R/S analysis to derive Hurst exponent

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Description

the code uses R/S analysis to derive Hurst exponent
Required Products MATLAB
MATLAB release MATLAB 7.14 (R2012a)
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finance, hurst(3), model validation, power law(2), risk weighted assets, var
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