Hurst exponent estimation based on moving average method

Abstract

In this paper, we introduce moving average method to estimate the Hurst exponent of the Hang Seng Index data for the 22-year period, from December 31, 1986, to June 6, 2008 in the Hongkong stock market, a total of 5315 trading days. Further, we present a detailed comparison between the regular rescaled range method and the moving average method. We find that the long-range correlations are present by both the new method and the regular method. © 2010 Springer-Verlag Berlin Heidelberg.