{"id":"https://openalex.org/W3173274635","doi":"https://doi.org/10.1109/access.2021.3090219","title":"Optimal Setting for Hurst Index Estimation and Its Application in Chinese Stock Market","display_name":"Optimal Setting for Hurst Index Estimation and Its Application in Chinese Stock Market","publication_year":2021,"publication_date":"2021-01-01","ids":{"openalex":"https://openalex.org/W3173274635","doi":"https://doi.org/10.1109/access.2021.3090219","mag":"3173274635"},"language":"en","primary_location":{"id":"doi:10.1109/access.2021.3090219","is_oa":true,"landing_page_url":"https://doi.org/10.1109/access.2021.3090219","pdf_url":"https://ieeexplore.ieee.org/ielx7/6287639/9312710/09458271.pdf","source":{"id":"https://openalex.org/S2485537415","display_name":"IEEE Access","issn_l":"2169-3536","issn":["2169-3536"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Access","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://ieeexplore.ieee.org/ielx7/6287639/9312710/09458271.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5027478572","display_name":"Liang Ding","orcid":"https://orcid.org/0000-0003-3998-3860"},"institutions":[{"id":"https://openalex.org/I59649739","display_name":"Jiangxi University of Finance and Economics","ror":"https://ror.org/03efmyj29","country_code":"CN","type":"education","lineage":["https://openalex.org/I59649739"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Liang Ding","raw_affiliation_strings":["School of International Trade and Economics, Jiangxi University of Finance and Economics, Nanchang, China"],"raw_orcid":"https://orcid.org/0000-0003-3998-3860","affiliations":[{"raw_affiliation_string":"School of International Trade and Economics, Jiangxi University of Finance and Economics, Nanchang, China","institution_ids":["https://openalex.org/I59649739"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5044098337","display_name":"Yi Luo","orcid":"https://orcid.org/0009-0006-0958-7727"},"institutions":[{"id":"https://openalex.org/I4210122543","display_name":"Guangdong Polytechnic Normal University","ror":"https://ror.org/02pcb5m77","country_code":"CN","type":"education","lineage":["https://openalex.org/I4210122543"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Yi Luo","raw_affiliation_strings":["Management College, Guangdong Polytechnic Normal University, Guangzhou, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Management College, Guangdong Polytechnic Normal University, Guangzhou, China","institution_ids":["https://openalex.org/I4210122543"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5101644126","display_name":"Yan Lin","orcid":"https://orcid.org/0000-0002-8284-9029"},"institutions":[{"id":"https://openalex.org/I4210122543","display_name":"Guangdong Polytechnic Normal University","ror":"https://ror.org/02pcb5m77","country_code":"CN","type":"education","lineage":["https://openalex.org/I4210122543"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Yan Lin","raw_affiliation_strings":["Management College, Guangdong Polytechnic Normal University, Guangzhou, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Management College, Guangdong Polytechnic Normal University, Guangzhou, China","institution_ids":["https://openalex.org/I4210122543"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5086623229","display_name":"Yirong Huang","orcid":"https://orcid.org/0000-0002-8338-8762"},"institutions":[{"id":"https://openalex.org/I157773358","display_name":"Sun Yat-sen University","ror":"https://ror.org/0064kty71","country_code":"CN","type":"education","lineage":["https://openalex.org/I157773358"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Yirong Huang","raw_affiliation_strings":["School of Business, Sun Yat-sen University, Guangzhou, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Business, Sun Yat-sen University, Guangzhou, China","institution_ids":["https://openalex.org/I157773358"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":1850,"currency":"USD","value_usd":1850},"apc_paid":{"value":1850,"currency":"USD","value_usd":1850},"fwci":1.1655,"has_fulltext":true,"cited_by_count":8,"citation_normalized_percentile":{"value":0.86895016,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":98},"biblio":{"volume":"9","issue":null,"first_page":"93315","last_page":"93330"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9901999831199646,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9886999726295471,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/hurst-exponent","display_name":"Hurst exponent","score":0.7226858735084534},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6338189244270325},{"id":"https://openalex.org/keywords/index","display_name":"Index (typography)","score":0.5524777173995972},{"id":"https://openalex.org/keywords/estimation","display_name":"Estimation","score":0.5408651232719421},{"id":"https://openalex.org/keywords/stock-market-index","display_name":"Stock market index","score":0.5079758763313293},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.48225122690200806},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.45793843269348145},{"id":"https://openalex.org/keywords/stock-market","display_name":"Stock market","score":0.4296780228614807},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.33992820978164673},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.21407592296600342},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.13826188445091248}],"concepts":[{"id":"https://openalex.org/C96835011","wikidata":"https://www.wikidata.org/wiki/Q1638718","display_name":"Hurst exponent","level":2,"score":0.7226858735084534},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6338189244270325},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.5524777173995972},{"id":"https://openalex.org/C96250715","wikidata":"https://www.wikidata.org/wiki/Q965330","display_name":"Estimation","level":2,"score":0.5408651232719421},{"id":"https://openalex.org/C88389905","wikidata":"https://www.wikidata.org/wiki/Q223371","display_name":"Stock market index","level":4,"score":0.5079758763313293},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.48225122690200806},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.45793843269348145},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.4296780228614807},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.33992820978164673},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.21407592296600342},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.13826188445091248},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1109/access.2021.3090219","is_oa":true,"landing_page_url":"https://doi.org/10.1109/access.2021.3090219","pdf_url":"https://ieeexplore.ieee.org/ielx7/6287639/9312710/09458271.pdf","source":{"id":"https://openalex.org/S2485537415","display_name":"IEEE Access","issn_l":"2169-3536","issn":["2169-3536"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Access","raw_type":"journal-article"},{"id":"pmh:oai:doaj.org/article:5d4528aa774e4b649ab527c5356cc7b1","is_oa":true,"landing_page_url":"https://doaj.org/article/5d4528aa774e4b649ab527c5356cc7b1","pdf_url":null,"source":{"id":"https://openalex.org/S4306401280","display_name":"DOAJ (DOAJ: Directory of Open Access Journals)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"IEEE Access, Vol 9, Pp 93315-93330 (2021)","raw_type":"article"}],"best_oa_location":{"id":"doi:10.1109/access.2021.3090219","is_oa":true,"landing_page_url":"https://doi.org/10.1109/access.2021.3090219","pdf_url":"https://ieeexplore.ieee.org/ielx7/6287639/9312710/09458271.pdf","source":{"id":"https://openalex.org/S2485537415","display_name":"IEEE Access","issn_l":"2169-3536","issn":["2169-3536"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Access","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G2695184273","display_name":null,"funder_award_id":"15BTJ032","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G4135978206","display_name":null,"funder_award_id":"U1811462","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G4331279045","display_name":null,"funder_award_id":"U1811462","funder_id":"https://openalex.org/F4320335869","funder_display_name":"National Social Science Fund of China"},{"id":"https://openalex.org/G4987637772","display_name":null,"funder_award_id":"15BTJ032","funder_id":"https://openalex.org/F4320335869","funder_display_name":"National Social Science Fund of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"},{"id":"https://openalex.org/F4320335869","display_name":"National Social Science Fund of China","ror":null}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W3173274635.pdf","grobid_xml":"https://content.openalex.org/works/W3173274635.grobid-xml"},"referenced_works_count":57,"referenced_works":["https://openalex.org/W307600067","https://openalex.org/W1552362148","https://openalex.org/W1598847143","https://openalex.org/W1719849314","https://openalex.org/W1965499600","https://openalex.org/W1967071544","https://openalex.org/W1984667514","https://openalex.org/W2000587526","https://openalex.org/W2007504260","https://openalex.org/W2019371791","https://openalex.org/W2021458729","https://openalex.org/W2031753087","https://openalex.org/W2034068434","https://openalex.org/W2044742368","https://openalex.org/W2046825833","https://openalex.org/W2054674045","https://openalex.org/W2055781590","https://openalex.org/W2063997710","https://openalex.org/W2068138154","https://openalex.org/W2069149020","https://openalex.org/W2075033486","https://openalex.org/W2080238377","https://openalex.org/W2085749582","https://openalex.org/W2103847004","https://openalex.org/W2112746910","https://openalex.org/W2113173022","https://openalex.org/W2129255115","https://openalex.org/W2148004832","https://openalex.org/W2165773639","https://openalex.org/W2221831393","https://openalex.org/W2306941105","https://openalex.org/W2341760625","https://openalex.org/W2600337946","https://openalex.org/W2606776062","https://openalex.org/W2734103737","https://openalex.org/W2735016445","https://openalex.org/W2742947407","https://openalex.org/W2794385875","https://openalex.org/W2799948621","https://openalex.org/W2884001105","https://openalex.org/W2913221115","https://openalex.org/W2918378401","https://openalex.org/W2940091258","https://openalex.org/W2944111576","https://openalex.org/W2995301341","https://openalex.org/W2997461479","https://openalex.org/W3005880472","https://openalex.org/W3009012433","https://openalex.org/W3033977396","https://openalex.org/W3082012450","https://openalex.org/W3095114851","https://openalex.org/W3102058909","https://openalex.org/W3108962448","https://openalex.org/W3113357550","https://openalex.org/W3122165036","https://openalex.org/W4242671632","https://openalex.org/W4292963524"],"related_works":["https://openalex.org/W2360437128","https://openalex.org/W3121129682","https://openalex.org/W3123122373","https://openalex.org/W4386639254","https://openalex.org/W2360554747","https://openalex.org/W3134659362","https://openalex.org/W3208509893","https://openalex.org/W2611464132","https://openalex.org/W2363401122","https://openalex.org/W2386753225"],"abstract_inverted_index":{"The":[0,21,100,117,166],"Hurst":[1,24,84,114,123,158,179,192],"index":[2,25,85,115,124,193],"is":[3,126,144,183],"widely":[4],"used":[5],"to":[6,184,221],"describe":[7],"the":[8,38,44,52,55,61,83,96,104,110,113,133,137,141,147,151,154,157,170,178,186,191,198],"long":[9,175],"memory":[10,176],"process":[11],"of":[12,46,63,112,140,153,160,205],"time":[13],"series":[14],"in":[15,169,202],"economics,":[16],"finance,":[17],"and":[18,79,91],"other":[19],"fields.":[20],"setting":[22,121,189],"for":[23,122,128,190,210,218],"estimation":[26,39,86,125,143,194],"has":[27],"not":[28],"been":[29],"thoroughly":[30],"investigated":[31],"by":[32,177,195],"current":[33],"literature.":[34],"Many":[35],"scholars":[36],"choose":[37,51],"settings":[40,48,53,65,105,201],"subjectively":[41],"without":[42],"comparing":[43,196],"results":[45,101,134],"different":[47],"or":[49],"just":[50],"providing":[54],"desirable":[56],"results.":[57],"In":[58,131],"this":[59],"research,":[60],"impact":[62,108],"various":[64,219],"such":[66,88],"as":[67,89],"correlation":[68],"processing,":[69,71],"trend":[70,223],"scale":[72],"range":[73],"selection,":[74],"subsequence":[75],"division,":[76],"fitting":[77],"method,":[78],"tail-cut":[80],"method":[81],"on":[82,109,216],"models,":[87],"R/S":[90],"DFA,":[92],"are":[93,164],"evaluated":[94],"through":[95],"Monte":[97],"Carlo":[98],"simulation.":[99],"show":[102,135,174],"that":[103,136],"have":[106],"significant":[107],"accuracy":[111],"estimation.":[116,149,206],"detailed":[118],"optimal":[119,155,187],"six":[120,199],"summarized":[127],"future":[129],"researchers.":[130],"addition,":[132],"comprehensive":[138],"performance":[139],"DFA":[142],"better":[145],"than":[146],"R/S-type":[148],"On":[150],"basis":[152],"setting,":[156],"indexes":[159],"China's":[161],"stock":[162,172],"market":[163,173,222],"estimated.":[165],"daily":[167],"volatility":[168],"Chinese":[171],"index.":[180],"Our":[181,207],"contribution":[182],"identify":[185],"model":[188,211],"all":[197],"optional":[200],"every":[203],"step":[204],"stepwise":[208],"analysis":[209],"effectiveness":[212],"may":[213],"shed":[214],"light":[215],"challenges":[217],"approaches":[220],"analysis.":[224]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":3}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
