Clustering analysis on Hurst dynamic

Abstract

This research focuses on utilizing the Hurst exponent () as a critical measure of relative volatility, with a specific emphasis on its ideal value of . The paper introduces an innovative simulation process for  based on an Ornstein-Uhlenbeck stochastic differential equation while simultaneously estimating the  parameter that governs the rate at which  reverts to its initial efficiency level of . The empirical segment of the study aims to compare the  parameters of numerous stocks computed through a stochastic simulation approach. The  value represents the speed at which  reverts to the value of  over extended periods.