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Multi-Fractional Brownian Motion: Estimating the Hurst Exponent via Variational Smoothing with Applications in Finance.
Luca Di Persio
Gianni Turatta
Published in:
Symmetry (2022)
Keyphrases
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fractional brownian motion
hurst exponent
financial markets
long range
non stationary
long range dependence
fractal dimension
image segmentation
random fields
stock market
information retrieval
decision making
similarity measure