Hot answers tagged hurst-exponent
A hurst exponent, H, between 0 to 0.5 is said to correspond to a mean reverting process (anti-persistent), H=0.5 corresponds to Geometric Brownian Motion (Random Walk), while H >= 0.5 corresponds to a process which is trending (persistent). The hurst exponent is limited to a value between 0 to 1, as it corresponds to a fractal dimension between 1 and 2 ...
A detailed description of the Hurst Exponent can be found here. A further (rather short search of Google) turned up this site claiming to provide an Excel Workbook with, among other things, Hurst Exponent estimation.
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