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I am trying to replicate a Bubble Indicator described here.

The indicator is strictly based on calculating the regularity of price behavior to determine herding in multiple time frames. I tried the Hurst exponent on series returns but could not replicate the results.

Data for the second chart EU High Yield can be found here

Any potential ideas to replicate this?

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  • $\begingroup$ I think you cannot replicate those results without a paper about how to construct this indicator; Moreover, Riskelia is a corporation and it is difficult that this kind of business reality says how to construct an indicator that after they have to sell :) $\endgroup$ – Quantopik Apr 2 '15 at 10:21
  • $\begingroup$ Did you find some reference about this indicator? $\endgroup$ – Quantopik Apr 23 '15 at 13:20

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