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2 articles related to "Time Varying Hurst Exponent"

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Articles

Brief Research Report

Published on 02 Oct 2020

Does Crude Oil Market Efficiency Improve After the Lift of the U.S. Export Ban? Evidence From Time-Varying Hurst Exponent

in Social Physics

Yinghui Shao

Frontiers in Physics

doi 10.3389/fphy.2020.551501

3,370 views
13 citations

Original Research

Published on 23 Jun 2025

Adaptive fractal dynamics: a time-varying Hurst approach to volatility modeling in equity markets

in Mathematical Finance

Abe Webb
Siddharth Mahajan
Mateo Sandhu
Rohan Agarwal
Arjun Velan

Frontiers in Applied Mathematics and Statistics

doi 10.3389/fams.2025.1554144

3,869 views