Search results for "Hurst exponent"
showing 2 items of 12 documents
Efficient or Fractal Market Hypothesis? A Stock Indexes Modelling Using Geometric Brownian Motion and Geometric Fractional Brownian Motion
2021
In this article, we propose a test of the dynamics of stock market indexes typical of the US and EU capital markets in order to determine which of the two fundamental hypotheses, efficient market hypothesis (EMH) or fractal market hypothesis (FMH), best describes market behavior. The article’s major goal is to show how to appropriately model return distributions for financial market indexes, specifically which geometric Brownian motion (GBM) and geometric fractional Brownian motion (GFBM) dynamic equations best define the evolution of the S&P 500 and Stoxx Europe 600 stock indexes. Daily stock index data were acquired from the Thomson Reuters Eikon database during a ten-year period, fro…
Investigating Long-Range Dependence in E-Commerce Web Traffic
2016
This paper addresses the problem of investigating long-range dependence (LRD) and self-similarity in Web traffic. Popular techniques for estimating the intensity of LRD via the Hurst parameter are presented. Using a set of traces of a popular e-commerce site, the presence and the nature of LRD in Web traffic is examined. Our results confirm the self-similar nature of traffic at a Web server input, however the resulting estimates of the Hurst parameter vary depending on the trace and the technique used.