In the Proceedings of the Estonian Academy of Sciences, Physics and Mathematics (2003), I saw the following sentence: Surprisingly, in the case of developed markets, short-term $H$ results showed ...
I had been working on algorithm which uses the Hurst Exponent. Once i random walk simulation on matlab, x = cumsum(randm(1000,1)), I was able to get a hurst value close to 0.5. To analyze the use of ...
I am trying to calculate the Hurst Exponent using Excel. I am facing a problem where the exponent value sometime goes beyond 1. Can someone share a link / material so that it will help me to calculate ...
Can the Hurst exponent be greater than one? Does it mean that the time series follows a random walk or that it's not stationary?
It appears to me that the answer is no, because Hurst exponent measures persistence in terms of autocorrelation, which is a linear measure. So even if a time series of asset returns is driven by ...