Support Board
Date/Time: Wed, 15 Jan 2025 19:38:58 +0000
Question on Hurst exponent
View Count: 1146
| [2017-09-13 19:18:13] |
| bala - Posts: 74 |
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The HURST exponent subgraph returns for an asset values between 0.5 and 1.3. The HURST values are supposed to be bounded by values (0.0<H<0.5, 0.5, 0.5>H>1). I understand that Sierra has implemented a specific version, question is how do I interpret a data - H between 0.5 and 1.3 for entire 2 years? Thanks for help. |
| [2017-09-14 05:32:04] |
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We need some time to look into this.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2017-09-15 17:25:37] |
| SC Support Tom - Posts: 450 |
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Hello bala, As you noted, the Hurst exponent should be between 0 and 1 (with 0 < H < 0.5 indicating an anti-persistent time series, and 0.5 < H < 1 indicating a persistent time series). Any of the existing algorithms for computing the Hurst exponent are estimations, and some of those estimations yield H > 1 for a given time series. We are unable to offer an interpretation for this case. Date Time Of Last Edit: 2017-09-15 21:10:42
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