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Hurst exponents,Markov processes,and fractional Brownian motion |
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| Authors: | Joseph L McCauley Gemunu H Gunaratne Kevin E Bassler |
| Institution: | 1. Physics Department, University of Houston, Houston, TX 77204, USA;2. COBERA, Department of Economics, J.E.Cairnes Graduate School of Business and Public Policy, NUI Galway, Ireland;3. Institute of Fundamental Studies, Kandy, Sri Lanka;4. Texas Center for Superconductivity, University of Houston, Houston, TX, USA |
| Abstract: | |
| Keywords: | Markov processes Fractional Brownian motion Scaling Hurst exponents Stationary and nonstationary increments Autocorrelations |
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