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- KackToodles
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smoothness of random walk?
QuoteOriginally posted by: FrasheWhy not? Us quants are one big happy anglophone community, only divided by our common language.And I always thought your common language is C++.
smoothness of random walk?
Not enough adjectives. There's only so much you can do with "++" and "--".
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- zakmoktadir
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smoothness of random walk?
One good way to quantify the smoothness of a curve is by calculating its Hurst exponent The Hurst exponent tells you how jagged a surface (or a curve) at small length scales. In general, the value is usually between 0 and 1(There are exceptions where the value exceeds 1; this is referred to as "anomalous roughening").The higher the value of the Hurst exponent, the smoother the curve is. Two curves can have different roughness value (which is the standard deviation of the time series) but the same roughness exponent.Regards
Last edited by zakmoktadir on May 12th, 2006, 10:00 pm, edited 1 time in total.
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- KackToodles
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smoothness of random walk?
QuoteOriginally posted by: FrasheNot enough adjectives. There's only so much you can do with "++" and "--".C++ and a lot of grunting.
Last edited by KackToodles on May 13th, 2006, 10:00 pm, edited 1 time in total.