A new concept, called balanced estimator of diffusion entropy, is proposed to detect scalings in short time series. The effectiveness of the method is verified by means of a large number of artificial fractional Brownian motions. It is used also to detect scaling properties and structural breaks in stock price series of Shanghai Stock market.
@article{arxiv.1211.2862,
title = {Hurst Exponents For Short Time Series},
author = {Jingzhao Qi and Huijie Yang},
journal= {arXiv preprint arXiv:1211.2862},
year = {2012}
}