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Questions tagged [hurst-exponent]

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2
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1answer
87 views

Dynamical Behavior of Hurst Exponent

I feel that the dynamic of financial market is not really modeled by standard Brownian motion, but fractional Brownian motion or even multifractional Brownian motion. I have read some references on ...
2
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0answers
47 views

Dividing H in the Hurst power law function to get the Hurst exponent?

For my own learning I have been following the guide here. It is highly instructive. Implementing this in R I was able to reproduce the authors results on the data sets provided within some ...
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0answers
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Determining Hurst exponent of a Brownian motion

I am trying to determine the Hurst exponent of a simple Brownian motion, however, I seem to get a result that differs from 0.5. I am following the instructions given on the Wikipedia-page, and here is ...
6
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3answers
739 views

Explanation of Standard Method Generalized Hurst Exponent

Apologies if this question is vague, I've gone over how to word it several times in my head, and I'm not sure it gets clearer each time. I've been looking at this website article https://www....
1
vote
1answer
399 views

How to know if a time series is trending or mean reverting?

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 ...
2
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0answers
414 views

Daily Hurst Exponent

I am trying to estimate daily Hurst exponent values of a stock returns (e.g. for each day to have also Hurst exponent - something like that: https://www.quandl.com/data/PE/CKEC_HURST-Hurst-Exponent-of-...
7
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1answer
256 views

Estimating the Hurst exponent in short terms in developed markets

In the Proceedings of the Estonian Academy of Sciences, Physics and Mathematics (2003), I saw the following sentence: Surprisingly, in the case of developed markets, short-term $H$ results showed ...
2
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1answer
639 views

What are the equation that gives hurst exponent of value >0.7 and <0.3?

I had been working on algorithm which uses the Hurst Exponent. Once i random walk simulation on matlab, x = cumsum(randm(1000,1)), I was able to get a hurst value close to 0.5. To analyze the use of ...
3
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1answer
8k views

Hurst Exponent Calculation

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 ...
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3answers
9k views

Can the Hurst exponent be greater than one?

Can the Hurst exponent be greater than one? Does it mean that the time series follows a random walk or that it's not stationary?
13
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1answer
528 views

Can Hurst exponent be used to characterize nonlinear dependence in time series?

It appears to me that the answer is no, because Hurst exponent measures persistence in terms of autocorrelation, which is a linear measure. So even if a time series of asset returns is driven by ...