• Dec 31, 2019 News!Welcome Assoc. Prof. David E. Breen from USA to join the Editorial board of IJMO.   [Click]
  • Feb 07, 2023 News!IJMO will adopt Article-by-Article Work Flow   [Click]
  • Aug 25, 2023 News!Vol. 13, No. 3 has been published with online version.   [Click]
General Information
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).


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.

Copyright © 2008-2023. International Journal of Modeling and Optimization. All rights reserved.
E-mail: ijmo@iacsitp.com