Rank: 845 based on 88 downloads (last 30 days) and 5 files submitted
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Tomaso Aste

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Company/University
UCL UK

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Professional Interests:
Information Filtering, Signal Processing, Networks, Physics, Compex Systems

 

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Files Posted by Tomaso View all
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31 Jan 2013 Generalized Hurst exponent Generalized Hurst exponent of a stochastic variable Author: Tomaso Aste finance, statistics, signal processing, physics 58 2
  • 5.0
5.0 | 3 ratings
31 Jan 2013 Weighted generalized Hurst exponent Computes the generalized Hurst exponent with exponential weights Author: Tomaso Aste finance, physics, signal processing, statistics 11 0
22 Oct 2012 Screenshot PMFG Build the PMFG graph from a similarity matrix Author: Tomaso Aste complex networks, information filtering, planar maximally filt... 8 0
24 Aug 2012 Screenshot Hyperbolyc Triangulations Generates triangulations on surfaces with arbitrary genera. Author: Tomaso Aste hyperbolic triangulat..., froths, complex networks, mathematics 5 0
24 Apr 2010 pmfg Calculate the the planar maximally filtered graph (PMFG). Author: Tomaso Aste planar graph, network, statistics, signal processing 6 2
  • 5.0
5.0 | 3 ratings
Comments and Ratings by Tomaso
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17 Jan 2013 Generalized Hurst exponent Generalized Hurst exponent of a stochastic variable Author: Tomaso Aste

The Hurst exponent for a random walk is indeed 0.5. The Hurst exponent for a random variable is instead 0. If you apply the genhurst to cumsum(randn) and you will get numbers close to 0.5.

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11 Apr 2013 pmfg Calculate the the planar maximally filtered graph (PMFG). Author: Tomaso Aste Chen, Tingting

Thank you!
17 Jan 2013 Generalized Hurst exponent Generalized Hurst exponent of a stochastic variable Author: Tomaso Aste Aste, Tomaso

The Hurst exponent for a random walk is indeed 0.5. The Hurst exponent for a random variable is instead 0. If you apply the genhurst to cumsum(randn) and you will get numbers close to 0.5.

16 Jan 2013 Generalized Hurst exponent Generalized Hurst exponent of a stochastic variable Author: Tomaso Aste Sandro

I tried your file with a random time series (both rand and randn) and this values of obtained is close to 0 (although it should be close to 0.5 right?). Can you explain it?
07 May 2012 Generalized Hurst exponent Generalized Hurst exponent of a stochastic variable Author: Tomaso Aste WARR

29 Jan 2012 Generalized Hurst exponent Generalized Hurst exponent of a stochastic variable Author: Tomaso Aste Lee, Patrick

Top Tags Applied by Tomaso
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signal processing, statistics, complex networks, finance, physics
Files Tagged by Tomaso View all
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Updated   File Tags Downloads
(last 30 days) 		Comments Rating
31 Jan 2013 Generalized Hurst exponent Generalized Hurst exponent of a stochastic variable Author: Tomaso Aste finance, statistics, signal processing, physics 58 2
  • 5.0
5.0 | 3 ratings
31 Jan 2013 Weighted generalized Hurst exponent Computes the generalized Hurst exponent with exponential weights Author: Tomaso Aste finance, physics, signal processing, statistics 11 0
22 Oct 2012 Screenshot PMFG Build the PMFG graph from a similarity matrix Author: Tomaso Aste complex networks, information filtering, planar maximally filt... 8 0
24 Aug 2012 Screenshot Hyperbolyc Triangulations Generates triangulations on surfaces with arbitrary genera. Author: Tomaso Aste hyperbolic triangulat..., froths, complex networks, mathematics 5 0
24 Apr 2010 pmfg Calculate the the planar maximally filtered graph (PMFG). Author: Tomaso Aste planar graph, network, statistics, signal processing 6 2
  • 5.0
5.0 | 3 ratings

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