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

• DOI: 10.7763/ijmo.2018.v8.635
• Publication Date: 2018-05-08T04:25:09Z
• Authors: Milton S. Raimundo; Jun Okamoto Jr
• Keywords: Hurst exponent; Rescaled range; Statistic; Fractional Brownian motion; Efficient-market hypothesis; Exponent

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