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I came across Michael Halls-Moore article on using the Hurst exponent test to determine if a price time-series is mean-reverting, trend-following or closer to a random walk, but doesn't this disregard the fact that financial instruments often exhibit a "bid-ask bounce affect" ? In which case, is his approach of using the Hurst exponent a bit too naive to use in practice?

Are there other ways to determine if a price time-series is mean-reverting or trend following specifically for financial instruments that more applicable in real-world settings?

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The article that you linked mentioned several statistical tests, that approach the question from different angles. However, you should know that bid-ask bounce is not significant if you're looking at daily data on liquid (heavily traded) financial instruments.

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  • $\begingroup$ What about intraday data, i.e. tick to tick data on fairly liquid instruments? $\endgroup$ – guy Jul 25 '17 at 1:05

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