Luca Di Persio

Deep Neural Network Model for Hurst Exponent: Learning from R/S Analysis

Luca Di Persio, Tamirat Temesgen Dufera

This paper proposes a deep neural network (DNN) model to estimate the Hurst exponent, a crucial parameter in modelling stock market price movements driven by fractional geometric Brownian motion. We randomly selected 446 indices from the S&P 500 and extracted their price move…Read more