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 why the underlying distribution of the random process under study should be taken into account before using its self-similarity exponent as a reliable tool to state whether that financial series displays long-range dependence or not. Finally, we show that, under this model, no stocks from S&P500 index show persistent memory, whereas some of them do present anti-persistent memory and most of them present no memory at all.

• Publication year

  2015

• Venue

  PLoS ONE

• Publication date

  2015-05-28

• Fields of study

  Mathematics, Physics, Medicine, Economics

• Identifiers
  DOI 10.1371/journal.pone.0127824PMID 26020942PMCID 4447444
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar, PubMed

• No claims are published for this paper.

• No concepts are published for this paper.

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