Rescaled Range Analysis

Rescaled Range Analysis
A statistical analysis of a time-series of financial data that attempts to find patterns that might repeat in the future. While rescaled-range analysis techniques have proved useful in other mathematical endeavors, the evidence for its use in analyzing financial data remains somewhat unproven. There are two main variables used in this technique – the range of the data (as measured by the highest and lowest values in the time period), and the standard deviation of the data. A derivative of this mathematical result is known as a Hurst exponent; if a trend actually exists in the data, this Hurst exponent can extrapolate a future value or average for the data point.

The desire to predict patterns in financial data (especially asset prices) is as old as the history of data itself. What makes the search so appealing is that stock market history does show cyclicality, albeit in a non-periodic way. Business cycle lengths seem to keep showing up in periods of four to five years, although nobody can explain why.


Investment dictionary. . 2012.

Игры ⚽ Поможем написать реферат

Look at other dictionaries:

  • rescaled range analysis — 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… …   Financial and business terms

  • Rescaled range — The rescaled range is a statistical measure of the variability of a time series introduced by the British hydrologist Harold Edwin Hurst. It is calculated from the dividing the range of the values exhibited in a portion of the time series by the… …   Wikipedia

  • R/S analysis — also: rescaled range 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… …   Financial and business terms

  • Riemann zeta function — ζ(s) in the complex plane. The color of a point s encodes the value of ζ(s): dark colors denote values close to zero and hue encodes the value s argument. The white spot at s = 1 is the pole of the zeta function; the black spots on the… …   Wikipedia

  • List of statistics topics — Please add any Wikipedia articles related to statistics that are not already on this list.The Related changes link in the margin of this page (below search) leads to a list of the most recent changes to the articles listed below. To see the most… …   Wikipedia

  • List of mathematics articles (R) — NOTOC R R. A. Fisher Lectureship Rabdology Rabin automaton Rabin signature algorithm Rabinovich Fabrikant equations Rabinowitsch trick Racah polynomials Racah W coefficient Racetrack (game) Racks and quandles Radar chart Rademacher complexity… …   Wikipedia

  • Ising model — The Ising model, named after the physicist Ernst Ising, is a mathematical model in statistical mechanics. It has since been used to model diverse phenomena in which bits of information, interacting in pairs, produce collectiveeffects.Definition… …   Wikipedia

  • Space Shuttle — STS redirects here. For other uses, see STS (disambiguation). This article is about the NASA Space Transportation System vehicle. For the associated NASA STS program, see Space Shuttle program. For other shuttles and aerospace vehicles, see… …   Wikipedia

  • Critical dimension — For the minimum feature size in photolithography, see Photolithography. In the renormalization group analysis of phase transitions in physics, a critical dimension is the dimensionality of space at which the character of the phase transition… …   Wikipedia

  • Quantitative comparative linguistics — is a branch of comparative linguistics that applies mathematical models to the problem of classifying language relatedness. This includes the use of computational phylogenetics and cladistics to define an optimal tree (or network) to represent a… …   Wikipedia

Share the article and excerpts

Direct link
Do a right-click on the link above
and select “Copy Link”