Rescaled Range Analysis

Rescaled Range Analysis

A method of analysis of financial information over time to see what patterns, if any, arise. Theoretically, R/S analysis can be useful to determine potential future price movements for a stock or future performance for a company, but critics contend that its accuracy is limited.
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(1996) in a study of 22 international stock markets, which includes the French, Dutch and Belgian markets, and in which the modified rescaled range analysis of Lo (1991) and the rescaled variance ratio test of Lo & MacKinlay (1988) are employed to monthly returns from 1962 to 1990.
Rescaled range analysis and detrended fluctuation analysis: finite sample properties and confidence intervals.
It is called the rescaled range analysis. The estimate of the Hurst exponent (H) takes on a value between 0 and 1.
The method of the rescaled range analysis can be employed to predict the future direction of parameter change, which indicates the trend of urban evolution.
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.
A variation at around 1990 is then corroborated by wavelet variance analysis, which is used to detect changes in runoff periodicity [18-22], Kendall's rank test (a nonparametric method for detecting or testing trends), and rescaled range analysis (a nonlinear technique for evaluating the persistence of apparent trends), which are widely used in hydrology (e.g., [23-28]).
One of the estimators worth mentioning is the celebrated rescaled range analysis (R/S analysis) since it is very popular among researchers until today.
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].
The work presented in this paper was conducted to compare the suitability of statistical, mutual information function, spectral and Hurst's Rescaled Range analysis for discrimination of flow regime transitions in a semi-cylindrical gas-solid spouted bed.
This work presents an application of rescaled range analysis (R/S) to study the fractal properties of precipitation in Venezuela.
The two tools employed for further evaluation are the rescaled range analysis and the three moments test.
The Rescaled Range analysis is based on the simple hypothesis that any IID data would show an increase in standardized ranges which are proportional to increase in sample sizes as samples of increasing subperiod lengths are considered.