摘要翻译：
我们研究了Hurst指数的使用，在一个移动的时间窗口上动态计算，以评估金融公司的稳定/不稳定水平。2007-2010年信贷危机引发的金融企业纾困在危机爆发前的一段时间内，其广义赫斯特指数随时间的推移呈现出明显的增长趋势。相反，属于其他市场部门的公司，在整个危机中遭受的损失最小，却表现出相反的行为。这些发现表明，有可能使用规模行为作为一个工具，以跟踪稳定水平的企业。本文介绍了一种计算广义Hurst指数的方法，它给较新的事件赋予较大的权重。这样，遥远过去的大波动就不太可能影响最近的过去。我们还研究了与对数收益分布尾部相关的标度，并将此标度与与Hurst指数相关的标度进行了比较，观察到这些公司价格动态背后的过程实际上是多标度的。
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英文标题：
《Dynamical Hurst exponent as a tool to monitor unstable periods in
  financial time series》
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作者：
Raffaello Morales, T. Di Matteo, Ruggero Gramatica and Tomaso Aste
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
  We investigate the use of the Hurst exponent, dynamically computed over a moving time-window, to evaluate the level of stability/instability of financial firms. Financial firms bailed-out as a consequence of the 2007-2010 credit crisis show a neat increase with time of the generalized Hurst exponent in the period preceding the unfolding of the crisis. Conversely, firms belonging to other market sectors, which suffered the least throughout the crisis, show opposite behaviors. These findings suggest the possibility of using the scaling behavior as a tool to track the level of stability of a firm. In this paper, we introduce a method to compute the generalized Hurst exponent which assigns larger weights to more recent events with respect to older ones. In this way large fluctuations in the remote past are less likely to influence the recent past. We also investigate the scaling associated with the tails of the log-returns distributions and compare this scaling with the scaling associated with the Hurst exponent, observing that the processes underlying the price dynamics of these firms are truly multi-scaling.
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PDF链接：
https://arxiv.org/pdf/1109.0465