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?