I tried calculating the Hurst Exponent using c#, and compared the results to a series with a known exponent. I am having the following issue in my calculations:

1- All my results are negative.. Instead of positive. I get numbers close to the following:

mean reverting series: -1, random series -0.5, and trending series : 0. The series have Hurst Exppnents of 0, 0.5. 1.00, respectively. It appears as if I take the original and subtract 1 . I have been trying to figure where my error is for a couple of days and can't seem to find it.

Has anyone come across in the past... Is there any suggestions on how to fix it?


The link below is the MATLAB code related to the bearcave pseudo code above. Its very simple to follow. The plotting code at the end just shows the fit of the pox plot so you do not need to implement that part. The rest should be easily implemented in C#.



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