Rescaled Range Analysis: calculates the Hurst exponent
Martin Sewell
7 May 2010
hurst.exe calculates the Hurst exponent of a sequence of numbers in an input file. The input sequence should be stationary, with mean zero. So if analysing financial data, the input data must be 1) returns (not price) and 2) detrended (zero mean).
The values of the Hurst exponent range between 0 and 1:
0 < H < 0.5 anti-persistence
H = 0.5 random walk
0.5 < H < 1 persistence
Usage: hurst inputfilename (outputfilename)