Comments (2)
Borzou
commented on July 30, 2024
@fabiofumarola Could you please tell us based on which article you have implemented this algorithm for calculating the hurst exponent? Why are you taking the square root of standard deviation? We have implemented hurst exponent based on this http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.137.207&rep=rep1&type=pdf article. And as to my understanding you have not implemented the same algorithm as one disclosed in the above article.
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fabiofumarola
commented on July 30, 2024
Hi @Borzou, sorry I was to rude in the post. Anyway I got the function from QuantStart blog post. The blog post talks about mean reversion testing but it uses the Hurst Exponent as a measure to evaluate is the time series is: reverting, a Geometric Brownian Motion or trending.
I tested its formula and it looks ok for me. What do you think?
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