Rescaled Range


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Rescaled Range (R/S) Analysis

The analysis developed by H.E. Hurst to determine long-memory effects and fractional Brownian motion. Rescaled range analysis measures how the distance covered by a particle increases as we look at longer and longer time scales. For Brownian motion, the distance covered increases with the square root of time. A series which increases at a different rate is not random. See: Anti-persistence, Fractional Brownian Motion, Hurst Exponent, Persistence, Joseph Effect, Noah Effect.
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Band name Original scaling range Rescaled range Blue [0, 47] [0, 12] [47, 116] [12, 138] [116, 255] [138, 255] Hybrid green [0, 38] [0, 13] (F = 0.
A sight for sore eyes: the return of true color to geostationary satellites
Residuals of this estimated fundamental time series are then tested for possible speculative deviations using a Hamilton regime switching test and a rescaled range Hurst coefficient test, with a further test for nonlinearity beyond the ARCH effects using the BDS statistic.
A raging bull or a long-term speculative bubble? The puzzling case of the Karachi Stock Exchange
In this study, we estimate the fractal dimension of price returns and test the Efficient Market Hypothesis (EMH), employing rescaled range analysis in order to use fewer assumptions about the underlying system.
Stock market behavior: a fractal analysis of Saudi Stock Exchange
In the theory of chaotic systems different methods are used [5], among others such as: correlation dimension [15]; Kolmogorov entropy, Lapunov exponent, fractal dimension [13]; Brock-Dechert-Scheinkman's test, rescaled range analysis [8,9,10,12].
Estimation of the Hurst exponent for market indices by use of rescaled range method and CAS Mathematica. Case study: S&P500
n](t), were determined by five methods: the rescaled range analysis (R/[sigma]), the roughness length (SD), the variogram (V), the power-spectrum (P), and the wavelet methods (W[X](a)).
Fractal behaviour of complex systems
Some studies (such as those by Peters, 1989; 1996) using classical rescaled range (or R/S) analysis have found evidence of long-term memory.
Evidence of long memory in U.S. stock returns: the case of the 1990s bubble
Hurst (1951) developed the rescaled range technique for time series analysis.
Flow regime determination in horizontal hydrotransport using non-intrusive acoustic probes
This work presents an application of rescaled range analysis (R/S) to study the fractal properties of precipitation in Venezuela.
Aplicacion del analisis R/S de Hurst para estudiar las propiedades fractales de la precipitacion en Venezuela
The Rescaled Range (R/S) analysis is a powerful indicator of the persistence of a series where the influence of a set of past price changes on a set of future price changes is effectively captured.
Nuances of chaos in foreign exchange markets
Long memory in foreign exchange markets is examined for the post-Bretton Woods period using Lo's [1991] modified rescaled range (R/S).
A Fractal Analysis of Foreign Exchange Markets
First proposed by Hurst (1951), the rescaled range technique has been applied to numerous time series of natural phenomena such as river levels and tree growth rates to measure the level of randomness in a system over time.
Market efficiency before and after the introduction of electronic trading at the Toronto Stock Exchange
Relevant tests employed include neural networks, correlation dimensions, Lyapunov exponents, fractional integration and rescaled range.
New Book Provides Insights into the Modeling and Forecasting of Primary Commodity Prices

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