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General Information
Editor-in-chief
Prof. Adrian Olaru
University Politehnica of Bucharest, Romania
I'm happy to take on the position of editor in chief of IJMO. It's a journal that shows promise of becoming a recognized journal in the area of modelling and optimization. I'll work together with the editors to help it progress.
IJMO 2018 Vol.8(2): 116-124 ISSN: 2010-3697
DOI: 10.7763/IJMO.2018.V8.635

Application of Hurst Exponent (H) and the R/S Analysis in the Classification of FOREX Securities

Milton S. Raimundo and Jun Okamoto Jr
Abstract—This paper presents the relationship between the Hurst Exponent (H) and the Rescaled Range Analysis (R/S) in the classification of Foreign Exchange Market (FOREX) time series by the supposition of the existence of a Fractal Market in an alternative to the traditional theory of Capital Markets. In such a way, the Hurst Exponent is a metric capable of providing information on correlation and persistence in a time series. Many systems can be described by self-similar fractals as Fractional Brownian Motion, which are well characterized by this statistic.

Index Terms—Hurst exponent, R/S analysis, fractal analysis, financial time series, fractional.

Milton S. Raimundo,and Jun Okamoto Jr., are with Escola Politécnica of the University of São Paulo - Department of Mechatronics Engineering and Mechanical Systems, Brazil (e-mail: miltonsr@usp.br, email: jokamoto@usp.br).

[PDF]

Cite: Milton S. Raimundo and Jun Okamoto Jr, "Application of Hurst Exponent (H) and the R/S Analysis in the Classification of FOREX Securities," International Journal of Modeling and Optimization vol. 8, no. 2, pp. 116-124, 2018.

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