Can Hurst exponent be greater than 1?
It is used to measure long range dependence in a time series. While the significant Hurst Exponent value is between 0 and 1, it is possible for DFA to produce Hurst Exponent values greater than 1. Hurst values greater than 1 indicate non-stationarity or unsuccessful detrending (Bryce et al., 2001).
What is Hurst phenomenon?
The Hurst phenomenon is a well-known feature of long-range persistence first observed in hydrological and geophysical time series by E. Hurst in the 1950s. It has also been found in several cases in turbulence time series measured in the wind tunnel, the atmosphere, and in rivers.
What is lag in Hurst exponent?
The Hurst exponent is used as a measure of long-term memory of time series. It relates to the autocorrelations of the time series, and the rate at which these decrease as the lag between pairs of values increases.
How do you use Hurst exponent in trading?
The Hurst exponent can be used in trend trading investment strategies. An investor would be looking for stocks that show strong persistence. These stocks would have an H greater than 0.5. An H less than 0.5 could be paired with technical indicators to spot price reversals.
What is Hurst cycle analysis?
Hurst cycle analysis provides a road-map of cyclical (recurring) trend changes at all time frames within financial markets. At any given time, there are many cycles acting on the market. Our method of utilizing Hurst cycle analysis unveils eleven cycles operating simultaneously in the markets.
What is rescaled range analysis?
Rescaled range analysis is a statistical technique used to analyze trends in a time series. It was developed by British hydrologist Harold Edwin Hurst to predict flooding on the Nile river.
Is Hurst exponent value useful in forecasting financial time series?
We estimated Hurst exponent of twelve stock index series from across the glove using daily values of for past ten years and found that the Hurst exponent value of the full series is around 0.50 confirming market efficiency.
How accurate are Hurst cycles?
Hurst’s theory of channel and envelope analysis was the cornerstone of his work, with time cycles and classic trendline analysis used to aid the forecasting techniques. Although likely impossible in today’s markets, Hurst claimed a 90% accuracy in actual trading results with his techniques of cyclical analysis.
What is Hurst time cycle?
Hurst suggested that there are certain standard cycles which are universal and can be applied on any asset classes. Many cycle analysts often complain that cycles vanish without giving prior indication. The major reason being interaction of different cycles of varying magnitude.
Is there a formula for fractals?
D = log N/log S. This is the formula to use for computing the fractal dimension of any strictly self-similar fractals. The dimension is a measure of how completely these fractals embed themselves into normal Euclidean space.
What is the value of the Hurst exponent?
The Hurst exponent value is highly variable and for most examples varies in the range between 0.4 and 0.8. It often exceeds the value of 0.5, which is evidence of variable long-term correlations. However, I adopted the Hurst exponent to be very sensitive and hence it may be contaminated by some statistical noise.
How do you find the Hurst exponent for self similar time series?
For self-similar time series, H is directly related to fractal dimension, D, where 1 < D < 2, such that D = 2 – H. The values of the Hurst exponent vary between 0 and 1, with higher values indicating a smoother trend, less volatility, and less roughness.
What is the Hurst exponent of long-term memory?
1. If the Hurst exponent is between 0.5 and 1, and it differs from the expected value by two and more standard deviations, the process is characterized by a long-term memory. In other words, there is persistence.
What is the Hurst exponent of the H1 curve?
The Hurst exponent H=0.469 is more than three standard deviations lower than the expected exponent value E=0.564. Now, let’s try to find cycles. We should return to the H1 chart and define the moment the R/S curve detaches from E (R/S).