%0 Journal Article
%T Hurst Exponents For Short Time Series
%A Jingzhao Qi
%A Huijie Yang
%J Quantitative Finance
%D 2012
%I arXiv
%R 10.1103/PhysRevE.84.066114
%X A new concept, called balanced estimator of diffusion entropy, is proposed to detect scalings in short time series. The effectiveness of the method is verified by means of a large number of artificial fractional Brownian motions. It is used also to detect scaling properties and structural breaks in stock price series of Shanghai Stock market.
%U http://arxiv.org/abs/1211.2862v1