{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,10,22]],"date-time":"2024-10-22T20:21:18Z","timestamp":1729628478766,"version":"3.28.0"},"reference-count":29,"publisher":"IEEE","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"DOI":"10.1109\/cifer.2003.1196276","type":"proceedings-article","created":{"date-parts":[[2003,12,22]],"date-time":"2003-12-22T12:34:10Z","timestamp":1072096450000},"page":"309-316","source":"Crossref","is-referenced-by-count":3,"title":["Efficient estimation of the Hurst parameter in high frequency financial data with seasonalities using wavelets"],"prefix":"10.1109","author":[{"given":"E.","family":"Bayraktar","sequence":"first","affiliation":[]},{"given":"H.V.","family":"Poor","sequence":"additional","affiliation":[]},{"given":"K.R.","family":"Sircar","sequence":"additional","affiliation":[]}],"member":"263","reference":[{"key":"ref10","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90015-1"},{"key":"ref11","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(93)90004-U"},{"key":"ref12","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"journal-title":"Fractal Geometry","year":"2000","author":"falconer","key":"ref13"},{"key":"ref14","article-title":"Short Time-scale in S&P 500 Volatility","author":"fouque","year":"2002","journal-title":"To Appear in the Journal of Computational Finance"},{"article-title":"An Introduction to Wavelets and Other Filtering Methods in Finance and Economics","year":"2002","author":"gencay","key":"ref15"},{"journal-title":"A Wavelet Tour of Signal Processing","year":"2001","author":"mallat","key":"ref16"},{"key":"ref17","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4757-2763-0"},{"key":"ref18","doi-asserted-by":"crossref","first-page":"394","DOI":"10.1086\/294632","article-title":"The Variation of Certain Speculative Prices","volume":"36","author":"mandelbrot","year":"1963","journal-title":"J Business"},{"article-title":"An Introduction to Econophysics","year":"2000","author":"mantegna","key":"ref19"},{"article-title":"Stochastic Calculus with Fractional Brownian Motion","year":"1999","author":"ruzmaiklna","key":"ref28"},{"article-title":"The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability","year":"2002","author":"barucci","key":"ref4"},{"key":"ref27","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00025"},{"key":"ref3","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02722.x"},{"article-title":"Arbitrage in Fractal Modulated Markets When the Volatility is Stochastic","year":"2001","author":"bayraktar","key":"ref6"},{"key":"ref29","doi-asserted-by":"crossref","DOI":"10.1142\/3907","author":"shiryaev","year":"1999","journal-title":"Essentials of Stochastic Finance"},{"article-title":"Arbitrage in Fractional Brownian Motion Models, to appear in Finance and Stochastics","year":"0","author":"cheridito","key":"ref5"},{"key":"ref8","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"article-title":"Estimating the Fractal Dimension of the S&P 500 Index Using Wavelet Analysis","year":"2002","author":"bayraktar","key":"ref7"},{"key":"ref2","doi-asserted-by":"crossref","first-page":"377","DOI":"10.1006\/acha.1996.0030","article-title":"The Wavelet-Based Synthesis for Fractional Brownian Motion","volume":"3","author":"abry","year":"1996","journal-title":"Remarks and Fast Implernentation Applied and Computational Harmonic Analysis"},{"key":"ref9","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"ref1","doi-asserted-by":"publisher","DOI":"10.1109\/18.650984"},{"key":"ref20","doi-asserted-by":"publisher","DOI":"10.2307\/1926560"},{"key":"ref22","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(90)90009-Q"},{"article-title":"Fractals and Intrinsic Time-A Challenge to Econometricians","year":"1995","author":"muller","key":"ref21"},{"key":"ref24","doi-asserted-by":"publisher","DOI":"10.1239\/jap\/1014842548"},{"journal-title":"Wavelets and Filter Banks","year":"1997","author":"nguyen","key":"ref23"},{"journal-title":"Fractal Market Analysis Applying Chaos Theory to Investment and Economics","year":"1994","author":"peters","key":"ref26"},{"article-title":"Wavelet Based Estimation of local Kolmogorov Turbulence, In ‘Long-Range Dependence Theory and Applications","year":"2001","author":"papanicolaou","key":"ref25"}],"event":{"name":"2003 IEEE International Conference on Computational Intelligence for Financial Engineering. Proceedings","acronym":"CIFER-03","location":"Hong Kong, China"},"container-title":["2003 IEEE International Conference on Computational Intelligence for Financial Engineering, 2003. Proceedings."],"original-title":[],"link":[{"URL":"http:\/\/xplorestaging.ieee.org\/ielx5\/8512\/26901\/01196276.pdf?arnumber=1196276","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2018,3,31]],"date-time":"2018-03-31T06:07:24Z","timestamp":1522476444000},"score":1,"resource":{"primary":{"URL":"http:\/\/ieeexplore.ieee.org\/document\/1196276\/"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[null]]},"references-count":29,"URL":"https:\/\/doi.org\/10.1109\/cifer.2003.1196276","relation":{},"subject":[]}}