Questions tagged [hurst-exponent]
6 questions
3
votes
1 answer
Why does the Hurst package apply a finite-differencing step before doing rescaled range calculations?
When I look at the code for the compute_Hc function in the Hurst package for Python, there is an initial finite differencing step. Everything else after that agrees with Wikipedia's description of the Hurst exponent except it works with the…
wlad
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Biased estimates of Hurst exponent in R/S analysis
I've used the standard R/S algorithm for estimating the Hurst exponent in Mathematica*, and tested it on fBm and fGn for $H\in\{0.05,0.1,\ldots,0.95\}$, generating 1000 time series for each $H$. The results, in form of violin plots, are as…
corey979
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Can Hurst exponent be negative?
I am using this code and getting negative Hurst exponent for OMX index returns between 2010 and 2021. I thought Hurst exponent cannot be negative but I am not sure what am I doing wrong?
def hurst(series):
lags = range(2, 100)
tau =…
Selena Pepic
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1 answer
Hurst estimation in small samples
I'm trying to estimate the Hurst exponent of a time series which I believe behaves as a fractional Brownian motion. My problem is that all the estimation methods I have found so far (r/s, Whittle, etc..) work asymptotically as $N\rightarrow \infty$,…
apocalypsis
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Fractional Brownian motion with additional terms
Fractional Brownian motion seems fairly a straight forward random process with a kind of auto-correlation function,
$$
\mathbb{E}\left[ B^H_t B^H_s \right] = \frac{1}{2} \left( |t|^{2H} + |s|^{2H} - |t-s|^{2H} \right)
$$
But this can easily be…
ignorance
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Time-Series: Testing for random walks using the Hurst Exponent
Is the Hurst Exponent a good methodology for testing whether a series exhibits a random walk? I have read in some papers and websites that it is known for producing biased estimates and would like to know if for a large enough sample the bias still…
Hatori_Hanzo
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