3
$\begingroup$

I am trying to calculate the Hurst Exponent using Excel. I am facing a problem where the exponent value sometime goes beyond 1. Can someone share a link / material so that it will help me to calculate accurate values using Excel.

Improve this question
$\endgroup$
2
  • $\begingroup$ I just started calculating the Hurst exponent a few days ago using OpenOffice. I've been looking for examples as well to help me finish it, no luck so far. Post your study if your able, it will help me, and maybe someone can make the necessary corrections? $\endgroup$ – montyhall Nov 8 '12 at 8:15
  • $\begingroup$ You can find several different implementations of the Hurst exponent here: prorum.com/index.php/2173/… $\endgroup$ – DanielTheRocketMan Feb 9 '16 at 15:44
5
$\begingroup$

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.

Improve this answer
$\endgroup$
0
0
$\begingroup$

You can try the excel sheet we did a few years ago: https://www.researchgate.net/publication/272792633_Excel_Hurst_Calculator

Improve this answer
$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.