Questions tagged [hurst-exponent]
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Understanding volatility of volatility in realized roughness
In the paper Buy Rough Sell Smooth by Glasserman and He (2018), on page 5 equation (8) they define an estimate of the volatility of volatility ν, by setting $\log(ν)= β_1/2$. I would like to ...
How to calculate the Hurst exponent of pink noise (in python)?
In my code below, I generated pink noise and tried to calculate the Hurst exponent. The Hurst exponent code was taken from https://stackoverflow.com/questions/39488806/hurst-exponent-in-python The ...
How to correctly explain the current price action in a trading chart with the Hurst Exponent found?
I watched this video tutorial to learn how to estimate the Hurst Exponent using an Excel spreadsheet and a time series sample of 1025 data. I decided to use futures 1H markPriceKlines data from ...
Cyclic analysis for trading signal generation
I would like to build trading signals using cyclic analysis in order to obtain a forecast afterwards. I had a look in literature and Hurst analysis, Fourier, etc, are used However, I am struggling to ...
Variance Ratio Test shows mean-reverting trend but Hurst exponent is greater than 0.5
I believe Hurst Exponent greater than 0.5 indicates persistent series, meaning the values are not mean-reverting. However, when I run a variance ratio test, I get a graph clearly showing mean ...
Why does the Hurst exponent pseudo code not match the Python implementation?
I am working on understanding the Hurst exponent calculation by Ernest Chan; however, the description of the algorithm does not match the Python implementation. Chan [Algorithmic Trading: Winning ...
Hurst Exponent and fractional differencing
I have a quick question. Currently I study daily OHLCVs of some stocks and find that many of them have the Hurst exponent not being equal to 0.5. I know that if it is less than 0.5 then it is a mean ...
Negative Hurst exponent
I am trying to test Hurst exponent in different time lag range. However, i got negative values in some time lag range which is weird, because the Hurst exponent should have values within the range ...
Hurst exponent of stock using R/S analysis
I am attempting to use R/S analysis to estimate the Hurst Exponent on a single stock. At first I directly use the stock price ( instead of stock return) and the Hurst component calculated is > 0.9 ( ...
Problem with Hurst exponent estimation for ARFIMA models
guys. I try to realize my ARFIMA model identification script in R. I try to find the best method for unbiased Hurst exponent estimation (fractional difference parameter could be found as Hurst - 0.5) ...
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 ...
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 ...
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 ...
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....
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 ...
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-...
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 ...
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 ...
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 ...
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?
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 ...